this has happened to me.
there's a trick to it, but i'm using the latest version of media player so i don't know it works with all versions of WMP.
when that error message "window media player cannot play the file because it doesn't exist or can be found offline." comes up, just click the close button and then click the play button.
the stream should start playing.
this process may or may not work on your computer, but it works on mine.