Listening to Streaming Audio with Windows Media Player

Hopefully you may be able to suggest a solution to my issue.

What I am looking for is some software that helps me identify an audio link
so I can play a radio station streaming on the net on windows media player
rather than activating the player that is a pop-up on the web page or in
some cases an embedded player in the web page itself. These players are OK
but are full of adverts and use a bit of internet energy rather than
allowing it all to feature in producing the output via the player.

There are alternative links one occaisionally finds on other web pages which
directly activate the windows media player. The problem is though that
often these links change and sites such as this aren't always updated as
frequently as an avid listener like me would wish, so, I'd like to be able
to work them out for myself when they change so I can listen to them at the
time I want to. Any suggestions as to what software I need to obtain to help
me in this task would be gratefully received .

Cheers