The easiest way to find stream Windows Media URLs is by using WM Recorder. Besides WM Recorder is the most powerful Windows Media stream recorder. In And it very easy to use too. In AUTO mode you don't even have to click the record button to capture your stream.

You may use WM Recorder in Demo mode to find stream URLs. You may also use freeware URL Snooper as mentioned by compn.

p.s. Please read the Streaming media FAQ before asking simple questions.