Visit the mplayer homepage and download all the codecs and install them. You don't get them with the distros because (as I understand it) of copyright issues. You can, however, download them. This will help considerably.
Beyond that, obtain a copy of Streamtuner
http://www.nongnu.org/streamtuner/ and install it. It helps A LOT with online radio stations. You may have to tweak it a bit to get everything just the way you want it and presently Live365 has changed their format, which broke that part of Streamtuner. I have found that Kplayer works very well with Streamtuner and this is the tool I use to play most streams.
Then, obtain plugger
http://fredrik.hubbe.net/plugger.html and install it to help your browsers. Again, you may have to tweak it, but it brings most multimedia formats into your linux browsers.
To play mms streams in Mozilla (and, I think, FireFox) you need to have gmplayer. gmplayer is an optional compile feature of mplayer; check to see if you have it already. It provides a graphical user interface to mplayer. It kind of sucks, but sometimes it is the best or only choice.
After you are sure you have gmplayer, then start a Mozilla window and in the address bar enter "about
:config".
On the config page that appears, right click and select "new string". In the requester that appears enter exactly (without quotes) "network.protocol-handler.app.mms"
The next requester that pops up asks you for the value of this string; enter "/usr/local/bin/gmplayer" (put your own correct path in). After you complete this, Mozilla will play mms streams correctly, using gmplayer.
Multimedia on Linux, unfortunately, is not too easy. Mostly this is because of copyrights and the determination of some media moguls to NOT support open source. However, you can make it work. I can play just about everything I encounter these days; the hard ones are the ones that bury their URIs in javascript and demand their own players but often even those can be played once you find the right URI (I sometimes use ethereal to monitor packets and extract hidden URIs that way).