We analyzed this stream and it looks like it has an incorrect MIME type in the header. Essentially the header is saying it's an asf file, but it's actually an asx list. It appears to be a sloppily constructed header that Window Media Player just happens for be able to decipher, but MC, as well as WinAmp, does not.
We can't change MC to handle this one case without risking breaking it for properly constructed headers. You could complain to the website operator and maybe get them to fix their mime content type.
JimN