I use the following shell script as a CGI script with my webserver. It starts vlc and transcodes the mms stream to mp3, sending it to stdout. The "exec" is necessary so that vlc gets really killed if the client closes the connection. You should also install libavcodec-unstripped.

#!/bin/sh
export TERM=vt100
echo Content-Type: application/octet-stream
echo
exec cvlc --quiet "mms://helix10.rtvslo.si/wmtencoder/ra1.wma" --sout '#transcode{acodec=mp3,ab=128,channels=2,samplerate=44100}:standard{access=file,mux=raw,dst=-}' 2>/dev/null

Edit the mms url, add execute flag (chmod +x) and name the file name.mp3, install your favourite server with cgi support, and enjoy!