Media Player and streaming audio

When I have an Internet radio station going and click to use Windows Media Player to listen to it, lots of times what comes up is a Notepad document with a bunch of words and numbers I don't understand. Once in a while, however, the WMP window will come up and I can hear the station's output. I have WMP 11. Is there a plug-in or some other thing I can do to fix WMP so that it always will play the radio station that lists it as one of the links? Thanks.