I don't really know how to solve this. Most probably all these media players don't support such Windows Media playlists.

You can ask about it at xda-developers. Or you can contact the developers of your favorite players so that they can add support of such streams.

You can also try to re-broadcast this mms stream with VLC player from your PC or Mac.

And you can record this radio and then either upload them to your mobile phone or stream to it.