can't get a stream to work

A while ago, I was groovin' with KEXP’s live stream through WMP, but for some reason, I can’t listen to it anymore. I get the following message when I try —

“Windows Media Player cannot play this file. Connect to the Internet or insert the removable media on which the file is located, and then try to play the file again."

I am connected to the internet, and there is no removable media, so I have no idea what the hell it’s trying to tell me.

I’ve contacted the providers, and they insist the problem must be on my end, because it’s working for other people just fine. Any ideas?

This is the stream’s link — http://www.kexp.org/audio/kexp-uncomp.asx

Andy