Need a media player to listen to the show?  Check here for media players.

WINAMP - Here's the one I use on a daily basis.  I use their FREE software.  It does everything I need and doesn't cost anything.
See their "Getting Started" video tutorial

Windows Media Player 11 - Windows Media Player 11 for Windows XP offers great new ways to store and enjoy all your music, video, pictures, and recorded TV. Play it, view it, and sync it to a portable device for enjoying on the go or even share with devices around your home, all from one place.

VLC Media Player - VLC media player - the cross-platform media player and streaming server

VLC media player is a highly portable multimedia player for various audio and video formats (MPEG-1, MPEG-2, MPEG-4, DivX, mp3, ogg, ...) as well as DVDs, VCDs, and various streaming protocols. It can also be used as a server to stream in unicast or multicast in IPv4 or IPv6 on a high-bandwidth network.

Move this one to the top of the list.  I'm now using it for serveral reasons.  It opens faster and has more features.  It's open source and works both in windows and linux.

I did find one problem.  It doesn't like .m3u files.  That's what I use for the show files.  Here's the fix.

How to fix the VLC problem of not starting .m3u files in Firefox

1. Navigate to your plugins and disable the VLC Multimedia Plugin
2. Click on the .m3u file and a pop-up window will ask you how you want to handle the file.
3. Click the box that says "Do this automatically for files like this from now on"
4. Click on "Open With" and navigate to the VLC.exe
5. The file will now open and play

Using this fix also allowed it to play in Internet Explorer

Fusion Media Player - What is fusion?
fusion is the smallest fully-featured media player available! It is based on DirectShow© and features all the latest audio and video formats, if the appropriate codecs have been installed. fusion is free and doesn't contain any spyware or spam.