I am still working on integrating HDHR Connect/Extend into TV guide. Since yours is a Connect, you can try the following:
As Bob suggested, right-click the device under Playing Now and choose Load. That will load the channels into the device's own library, in Video. You should be able to play the channels. You should notice the filename of these channels are URLs, possibly like the one you tried
http://192.168.y.z:5004/auto/v101, but maybe different (if you are in the USA, the Connect should be for ATSC tuning, and the ending part of the URL should be something like v11.1, or v5.1, etc., i.e. in ATSC channel format).
Try one of those correctly formatted URLs in Main Library, with File > Open URL..., you should be able to play it.