Despite the existence of Perian and Flip4Mac, there are no native options for getting Windows Media 9 Voice Codecs working over streaming (mms) sessions. I spent some time Saturday night trying to get it to work with VLC, MPlayer, QuickTime Player and the now-unsupported Rosetta-only Microsoft Windows Media Player 9 for OS X. Video managed to show up (it was encoded differently) in various programs, but no audio (NOTE: Rosetta WMP 9 kinda worked off and on, but kept dying enough to make it not an option).
The solution was to grab Crossover Mac and get Microsoft's Windows version of WMP 9 working in it. (NOTE: you *could* just use Windows under Parallels, VMware or BootCamp, but that has a significant cost associated with it. The price of a Crossover license is much more palatable for may people.)
First, grab Crossover and install it (find your Mac OS X DVD so it can install the necessary Quartz libraries). Go to Configure->Install Software and install DCOM98 (let Crossover create a Windows 98 "bottle") Next, go to the same place and install the Windows OLE Components. Continuing, go to the same place and have Crossover install Microsoft Internet Explorer 6 and tools into the same Windows 98 bottle. Let it install everything (default install).
You'll need to download Windows Media Player 9 (validation required, or you can look for MPSetup.exe on the Net somewhere). You'll also need to grab some necessary Windows Media Player 9 codecs.
Now, go to the same software installation menu, but select a non-supported install package and choose MPSetup.exe. Let it install (click "Yes" or "OK" to everything). Startup Windows Media Player 9 within Crossover. Hit CTRL-2 to put it into skin mode (important, or it crashes a great deal) and then right click in the window and go to Options.... Make all of the settings look like this. The player will crash a great deal if not.
Once the settings are made, close out of WMP 9 and re-launch Crossover. Follow the same procedures to install the codec package (WM9Codecs9x.exe). It will probably fail. You can try it again, or startup WMP 9 and test your mms stream. You should be able to play the video and audio without problems.
If you have any issues, drop a note in the comments.