Annoying SP2 Question dealing with Media Player 10

Okay, I have a highly annoying problem with the “Security” features of WMP10

I love the internet radio features of WMP10, but recently it has broken, and I don’t know why. Some stations still work, but some others that have worked before still do.
Now when I click a link to play in the WMP10 page, I get a screen with the new Security logo that says that the file I am trying to open can’t be opened direcly because it is corrupt or something and that it is reccomended that I don’t even save it. This is weird, obviously because the stream is coming from radio.msn.com

So what can I do to disable this “feature” where IE (obviously the embedded browser) prevents me from doing that?