It's all very odd. One day, the 128K firewall was the only way to stream. Then, the URL didn't work and Winamp played a blank "Demo".
I tried the 128k MP3 non-firewall and MediaPlayer opened and worked really nicely. Then, about two weeks later, I get the error message--which continues to this day.
But at least I can listen using the firewall stream, but with the squeaks I mentioned before.
Nothing changed on my end.
It's all too weird.
I just installed Winamp at home a coupla days ago - wanted to get away from MediaPlayer there - now I'm getting the same type of message you are - I have a feeling it is a conflict on my computer that has nothing to do with RP. You may be in the same boat. Haven't troubleshot it yet but once I do I'll report back.
I do have to say, I have not encountered one single problem with the 128K Winamp non-firewall stream that I have at work. I would try disabling the firewall for RP if possible.