I tested with this
[code:1]
[Protocol]
exec=mplayer %u
protocol=mms
input=none
output=none
helper=true
listing=
reading=false
writing=false
makedir=false
deleting=false
[/code:1]
put into file called mms.protocol in my KDE's installation directory under share/services (/usr/share/services on my system)
The "Exec" line contains the command: %u will be replaced by the URL, you can specifiy other mplayer options additionally if needed.
Cheers,
_