I think that will work.
I 'tested' the scenario in a virtual machine using Windows Media Player. Technology still got in the way - my audio did not work in the VM and WMP complained, but
The Internet shortcut did launch WMP which still complained about the audio.
1) Bookmark this page
name it mms-b
2) Open bookmarks
Right click the bookmark mms-b created in step 1
select properties from the context menu (at the bottom of the list)
paste any of the addresses you want to listen to in a stream into the URL [______] textbox
3) Double click the mms-b bookmark you just modified
It might take a while to begin streaming, give it a few minutes
4) Leave it in your bookmarks or copy it to your desktop
Double click the copy of mms-b on your desktop to test it in that location.
That's the best I could do, I hope it helps with the issue.
Here are the URLs from your posts: