web radio can be a bit hit 'n' miss at times, and I mean in general, not specifically in Media Center. The error you are experiencing is most likely because the connection attempt to the streaming server either failed, or timed out. I have noticed that MC appears to have a pretty short time-out setting. When this happens, and your trying to hook up with a windows media formatted stream, you'll get the rather confusing statement that "MC was unable to aquire a liscence to play that file"
Keep trying to get a slot on the server and when you get one, things will work fine. If you feel the problem is MC's, then try clicking your link and allowing iexplorer's "media bar" to take care of it. See what happens then.
MC can be a little odd at times using the "File > open streaming file" option as it appears to assume the stream will be .mp3.
Have a read of this thread...
http://www.musicex.com/cgi-bin/yabb/YaBB.cgi?board=MediaCenter;action=display;num=1055000314where I outlined what works pretty well for me in most cases.
-marko