Some online sources need the -playlist option to work properly. Also, if you're playing an asx file, it is just a script pointing to the real file, so make sure you're getting the right file. Here are two that I often use, so I know they work. If they don't work for you, then it's either your connection or your mplayer setup.
Code:
mplayer -playlist http://rope.wbap.com/wma_player/listen.pls
Code:
mplayer -cache 128 http://70.85.123.2/wrmbM010