I want to develop an application to play live stream on Windows mobile devices. Please give me an example of this.
That is a fairly broad question. There is a MediaElement control you can use to play video. Maybe the open source PlayerFramework is more helpful. It provides a way to play lots of content, including progressive downloads, streaming, live streaming, protected content, advertisements, etceteras. And you can style the player as you see fit.
Have a look at http://playerframework.codeplex.com for the downloads, sources and documentation.
An easy start can be found here: Getting Started Guide.