I would guess that it's all in the software your using.
Essentially, when you're broadcasting an audio stream, your audio broadcasting computer becomes an MMS server.
When you go to another computer and type mms://xx.xx.xx.xx, that computer (the "client" computer) uses the "mms" protocol to send a request for audio data to the computer at the ip address xx.xx.xx.xx.
When your server computer recieves information via the mms protocol, it understands it - as it is running mms server software. The mms server software knows how to react to messages sent to it, and knows how to send the audio data back.
However, when you type click here, you're using the HTTP protocol, not the MMS protocol. So your client computer sends the server computer a request asking for http data. As the server computer is not running HTTP server software, it doesn't send anything back and ignores the request.
Hence why the client computer gets a "page not found", because it couldn't find a page on the computer with the ip address xx.xx.xx.xx.
If you want to do that, you could set up a web page somewhere and embed windows media player inside the webpage - and you could set up the embeded player to run the mms stream. If you want to run the webpage on your own computer on your own IP address, you would have to run an http server too.
I hope that helps and isn't confusing - but I must admit, I'm presuming most of that from my networking knowledge.