It seems logical...an MSN Radio premium subscription should be accessible from a Windows Mobile 5 smart phone, using the phone's data service.  Speed and bandwidth certainly aren't an issue, since I can use the phone as a wireless modem for a laptop, then stream MSN Radio from the laptop. 

I tried pasting the URL from media player (in Windows XP) to the location in Windows Media on he mobile device, but that doesn't work either. 

Someone has to have written about it somewhere, but I can't find it...