If you are streaming in Windows media formats (wma, wmv), try VLC
. For Real Media formats, you will need Real Player for Linux
(it's based on Helix
and it doesn't try to phone home to Seattle like the Windows version) or a conversion program.
Microsoft keeps messing with Windows Media codecs to try to keep them proprietary. Real Player has always used proprietary codecs.
Any other common format (*.avi, *.mpg, etc.) should work okay with any standard Linux.