TCPMP and MortPlayer both say they offer "podcast support". You may be able to stream podcasts with those programs directly.
FeederReader (a podcatching client for the Pocket PC) also has a streaming mode where it allows you download a podcast feed, list all the episodes, and tap on one to stream it using a streaming-capable player. Support for this depends on the ability of your media player to actually stream the file, but it works with MortPlayer.
This is not the default setting of FeederReader so if you need help setting it up this way, I'm at the FeederReader Forums.
Greg Smith
Author, FeederReader - Pocket PC *direct* RSS text, audio, video, podcasts
www.FeederReader.com - Download on the Road