I have tried what you mention and it does not work with the 0.7.2 or the 0.8.0 test-2 version of VLC.
It works locally on a LAN, but not on Internet at this time (from my experience, and believe me - I have tried).
If you want to stream Windows Media content you can just as well download
http://www.microsoft.com/windows/window ... fault.aspx and do it using WME.
I though hope that this is going to be possible with VLC soon, so annoying having to use Microsoft's products for everything
There may be some legal aspects of streaming WMV streams thru VLC though.
I just hope that OGM support for streaming will be implemented in VLC soon.