In case you had this issue - strangely enough, had no such problem on Ubuntu 10.04, but 11.10 seems to bring along some unexpected items here and there (no way!).
This post would have been okay, if only
> sudo apt-get install mozilla-mplayer
would not retrieve "E: Unable to locate package mozilla-mplayer"
1. Copy the .asx file path (that you're trying to access in the search bar)
2. Open Rhythmbox (music and all things audio player)
3. Rhythmbox > top menu > Music > New Internet Radio station (or Ctrl + I)
4. Paste the .asx URL in the input > "Add"
5. Rhythmbox > click "Radio" icon in left sidepane - you'll see a list of radios, double click on the freshly added radio station and start listening
Note: you can also click on the added station > right-click > Properties > Edit metadata and genre. It's gonna be easier for you to access your favorite stack of radios in the left sidepane (with genres).