If you are getting any error while playing with default Real Player, then download below player and follow the procedure.
Nokia-Symbian
Player1(S60v2-1)
Player2(S60v2-2)
Player3(S60v3)
Streaming links downloaded from here are .rm which tend to open with default player. Cancel the process and save link. Now rename the downloaded file .rm to .ram which players understand. Not always but generally, default download location of .rm file is /nokia/sounds/digital or /Data/Videos. Now place the .ram in c:/nokia & run player1/2/3 & the streaming link will show up in the media browser. Click to play!

PPC/Windows
Player(ppc-windows)
Nothing to worry, downloaded files are .ram & they open correctly in correct player. Play in fullscreen mode & adjust zoom to fill screen!