I believe you encounter an error when you try to access the station when it is off the air. It broadcasts 12 hours each day from 1:00 P.M. to 1:00 A.M. G.M.T.
Try again during those hours.
However, my error message in such a case is different than yours:
Windows Media Player cannot connect to the server. The server name might not be correct, the server might not be available, or your proxy settings might not be correct.
Otherwise, make sure you submitted the correct U.R.L., which in this case begins with mms://