Is there something like libmms, librtsp or xine-lib for C#?
I have been using the BASS library successfully for these types of streams. It should be able to do it with the WMA plugin.
It's written in C/C++ , but there is a .NET wrapper available.
It also supports mp3 and ogg/aac (with plugins)
You may also try to host the Media Player, if the target is Windows Forms/WPF.