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

#!/bin/sh
export TERM=vt100
echo Content-Type: text/plain
echo
exec vlc --quiet mms://stream4.orf.at/oe1-wort --sout '#transcode{acodec=vorb,ab=128}:standard{access=file,mux=ogg,dst=-}' 2>/dev/null

Save the script as something ending in .ogg so that mpd knows its an ogg stream it is receiving.