Okay. Thanks for the tip about the pop-up blocker. That solved part of the problem. I now get the pop-up window in Safari that brings up the player. However, instead of buffering the stream and playing it, I get this message:
Some content on this page requires an Internet plug-in that Safari doesn’t support. The application “Windows Media Player” may be able to display this content. Would you like to try?
If I click Cancel, nothing happens obviously. If I click Okay, the Windows Media Player application opens and it plays from there. Still, there should be a way to play this content directly from within Safari, no!?
As for the pop-up blocker, I thought that was only for unsolicited pop-ups. I didn't know it also blocked stuff you were actively trying to make surface. My bad.