hotwonton,
You're right . . . for some reason, adding live streams with .asf extensions won't work. :realmad:
Anyway, the way I "trick" the system is to open WMP on my device, go to the main screen (i.e., the main player view), click menu, and then Open URL. On my laptop, I browse to my favorite radia station's streaming page, right-click and choose "properties" on the link to the WMA stream. I then tap in the URL (which is usually long and ugly, so it's painfully slow to do) into the Open URL line in WMP Mobile (I tried saving the ugly URL to a word file and then copying and pasting it, but for some reason WMP mobile won't let you paste into the open url dialog . . .

).
Anyway, the point of doing that is once you have opened a stream by URL, the next time you go to Open URL in WMP Mobile, you should see the url in the history and you can just tap that and start streaming. Of course, if you clear your history, you'll have to tap the ugly url in again.
Hope this helps . . . at least until WMP becomes user friendly!