I also wanted to mention that I plan to offer support for more kinds of content (e.g. clips, condensed games, etc) in a future version of MTR, so it may eventually do what you are requesting.
Also, as it stands now, MTR has a somewhat crude user interface, but at least it's pretty easy to request either Real or Windows Media by specifying either "r" or "w" after the team you request. If you request Real and and get Windows Media, then that means MLB didn't have support for Real available.
These days, they have very little available in Real format other than live game audio or video, and archive game audio. Also, RealOne Player for Pocket PC just flat out will not handle their video streams, so if you're primarily concerned with video, which it sounds like you are, you can forget about using Real entirely, meaning you don't really need to be prompted for your choice as you are asking.
I appreciate the suggestions from you and others to help make MTR better!
Ivan.
developer of Modern Transistor Radio
live streaming baseball audio and video for your Pocket PC
http://www.ivanx.com/mtr