I was playing with this recently.
I was trying to change default player to open link thru xmradio website. Actually once or twice the N800 media player was able to play it, but mostly there is an loosing connection error.
The mplayer couldn't recognize stream, kmplayer also couldn't play the stream. When I have copied stream url to kmplayer, there was a log in error.

Now, after adding application/x-mplayer2 mime type to kmplayer desktop file and running update mime database and desktop database, I can play xmradio by directing kmplayer to
"http://www.xstreamxm.com/mobile/stream.asx?email=XM_USERNAME&pass=XM_PASSWORD&chan =4&speed=low"
where you need to give yours email and password and choose the channel.