radio streaming audio & WMP9

My friend has Windows XP, Internet Explorer 6 and Windows
Media Player 9, and connects with Sprint DSL to the
internet. She also uses AOL, however, she uses IE6 (or
tires to use) with WMP9. She gets a "file corrupted or
player does not support format trying to play" error in
WMP9. It appears that the radio station URL,
http://www.wrr101.com , streams .asx; her Tools/Options
show that Windows Media File (asf) is checked. She has
tried unchecking the box, rechecking it, clicking Apply,
OK, and rebooting; it failed to solve the problem. I
understand that XP has a built in fire wall and she may
have to open a port (though the add radio station does not
work--we've tried that -- she has added the site to Other
Media but still cannot open it -- still gets the error
message); I do not understand the specific directions for
opening the port. Unfortunately, she lives 3+ hours away,
so we have been trying to walk through this via telephone
to no avail. Thank you in advance for any assistance you
may be able to offer. (I have Win98, a cable modem, IE6
and WMP9 and I have NO problem reaching the site.) KarenMS