Can anybody give me a link to a working example of playing background live-streaming audio in Window Phone 7 (or 7.1)? I saw a lot of examples (in microsoft.com too) and noone of them works correctly for playing a background live-streaming audio.
FYI, here's an url of live-streaming audio http://radiozetmp3-02.eurozet.pl:8400/
Background audio is not supported on 7.0, only 7.1 (and above).
If you want to play streaming audio in a format/codec which is not natively supported by the phone you must do it with an AudioStreamingAgent. If it is a supported codec, you can use an AudioPlayerAgent (see sample here).
Using an AudioStreamingAgent is a nontrivial task and requires a deep understanding of the codec you need to play so you can convert it to something the phone understands. I know of one person who did this, for a H.264 stream, and it took a long time and much hair pulling to get it working. And before anyone asks: No, they are not able to share code from that project.
If you really must go down this route, the ManagedMediaHelpers (previously here) are a good place to start, but yes, they don't cover all codecs and this is, potentially, very complicated and not something well documented on the web.