How are you opening the WMA streams or files? Are you (double-)clicking? If so, maybe it's a file association issue - check if "WMA" is selected in the "Integration" options page. Also, to confirm whether that is the issue, you could try drag'n'dropping the WMA files/links to XMPlay instead.
I just click on the 'tune in' button. Yes, all the files in the integration are selected. I think some of the files i'm trying to play are ASF, ASX. Dotpitch had a work around when this problem happend with Kerrang, and the Xfm stations, which can be found here: http://www.radiofeeds.co.uk/
a few months ago. Those work arounds no longer work. I have decided to split the duties between WMP, which is no XMplay, and XMplay. This is the best media player I've used. I'm not technical and this is great for me! Thank you!!!!