Ben--
If I understand you correctly (and I'm no longer sure I do), you have a specific link you cannot play in MC, although it plays in WMP.
I tried going to capcave, and it's all in some foreign-talk probably having to do with Holland. I tried following your link, and it wants to download an app or script, and I'm guessing that MC doesn't like that. Someone smarter than me will likely suggest that it is either a different format MC needs a codec for, or something smart-like.
Sorry to waste your time, and thank you for indulging my helpful suggestion that was not appropriate. I was confused by your use of the phrase "an internet radio, For example", which I took to mean ANY internet radio station, not limited to the example given.
If you ever want to know how to listen to smoothjazz.com again, feel free to ask.