Here is how I got to access it by just double-clicking an icon on the Desktop.
The 'obvious' way would be to drag the URL to the Desktop and create a .webloc file. But there were two problems with that.
The URL starts with mms:// and if one tries to open it directly from inside QuickTime Player, it does not recognize it. It does, however, open and play the stream if I use http:// instead.
However, the corresponding .webloc opens in Safari (or whatever other default browser is set), and doing Get Info and setting it to open with QuickTime Player has no effect.
Enter AppleScript. I created a very small script (you need to put in your correct URL):
tell Application "QuickTime Player" open URL "http://the.url.for.the.stream" end tell
[crarko adds: I haven't tested this one. I'm pretty sure you still need to have the Windows Media Components for QuickTime, aka Flip4Mac, installed to play Windows Media formats.]

