Betaplayer can handle HTTP streams only, the one you are trying to play uses Microsoft's MMS protocol which is not supported. The only other player with a chance of playing WMVs correctly is VideoLAN but unfortunately the Pocket PC version is in very bad shape at the moment, it sort of plays but then bugs out.
BTW The real address of the stream you are trying to play is
mms://wms03.aii.co.jp/jal/jtv/ch0/je...gift-all-b.wmv