The Microsoft page is a red herring. Look down the bottom of the page and you will see this :-
The information in this article applies to: Microsoft Internet Information Server 4.0
It is for Administrators who have direct control over servers.
I am currently listening live to Planet Rock so there is nothing wrong with their server. There are 2 places on the site that allow you to listen live. The one at the bottom left that says 'or click here to listen on line' is using a Java script to stream the station so it may be you need to re-load Java from the Sun site. The one at the bottom of the page that says 'Problems connecting to our web stream? Try this' takes you to a different web site and streams a .asx file which opens in WMP9 on my PC. Check which player you have set as default for playing .asx files.