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MPlayer is normally run from command line.
The command line used depends on what package you install because the location it is installed in may vary.
If you use a package without an installer the location is wherever you un-zipped the files.
If you use a package with an installer it will probably install to C:\Program Files\mplayer

Playing a stream would be.
Start - Run.
"C:\Program Files\mplayer\mplayer.exe" mms://www.site.com/directory/filename.asf
or.
"C:\Program Files\mplayer\mplayer.exe" rtsp://www.site.com/directory/filename.rm

Recording a stream would be.
Start - Run.
"C:\Program Files\mplayer\mplayer.exe" -dumpstream mms://www.site.com/directory/filename.asf
or
"C:\Program Files\mplayer\mplayer.exe" -dumpstream rtsp://www.site.com/directory/filename.rm

When it is done recording there will be a file saved in C:\Program Files\mplayer named stream.dump.
Rename it to.
stream.dump.asf
stream.dump.rm
or
Anynameyouwant.asf
Anynameyouwant.rm

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Probably the easiest package to use I have found is MPlayer+Frontend.
mpf.dzm.hu/
It installs in the program files and has the MPlayer Starter Frontend you can use or you can use command line like above.

When you use the MPlayer Starter Frontend all you need to do is paste your stream URL to the first line and click start to play the stream.
If you want to save the stream also put -dumpstream on the third line and click start to save the stream.
The file will be saved like above.