Although streams tend to be linked as mms://, you should be able to substitute http:// for mms://. Windows Media Services, if configured by defaults, will attempt to find the best method of streaming, normal defaults should include http streaming as a last resort.
As for the codecs, or streaming method used, mplayer does know most .wmv and .wma formats. That doesn\'t mean that it will understand the .as(f,x) file. often you will find that .asf files are actually just like asx files, playlists. I often have to download and edit the file to find out what the actual streams are.
mplayer ipkgs for zaurus might not include necessary libraries, codecs, etc. to play wma or wmv encoded files.