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.