For streaming video or audio, I have a few options on my system (Mac OSX), but still most the same options are for windows also that I use. One is VLC - (click on link) as this plays video & a high no. of audio formats as well. To see the formats it can play, see http://www.videolan.org/vlc/features.html The great thing about VLC is it has in-built codecs.
For other audio streaming, I also use iTunes. There's another but is strictly a mac program.