I've successfully implemented VLC UDP (multicast) streaming to a DirectShow filtergraph using the DirectX 9 SDK sample filter "MPEG-2 Multicast Receiver" (DXSDK\Samples\C++\DirectShow\Filters\DSNetwork) and the DX9 MPEG-2 Demultiplexer. The demux must be configured manually (programmatically or in graphbuilder) with output pins, and PIDs for the A/V streams must be mapped correctly (0x45=69 for video in my case)
Of course an MPEG-2 decoder is still required. (Maybe someone has whipped up a free DirectShow filter based on the mpeg2dec library?)
We're still a few steps away from being able to stream directly to WMP though...
Thanks for nothing everyone
.: t1 :.