If you are trying to stream one of those Freezone MMS radio, you need to:
1. Install Squeezebox Server
2. Go to Advanced Settings, enable viewing of Plugin if not already.
3. Go to "Plugin" tab, go to bottom and enable viewing of 3rd party plugins.
4. Choose and install AlienBBC plugin. Restart Squeezebox server.
5. Install MPlayer (AlienBBC will mention it if you have not). Restart Squeezebox server if required
6. Go back to Plugin and configure the ALienBBC. Add the MMS stream at the bottom
7. Finally, on the Squeezbox itself, choose Internet Radio --> AlienBBC
Within this, you will see the MMS stream finally!