Are you using it from within IE? It may be an ActiveX issue [1]. Checking your ActveX permissions and Adding the site you stream from to the list of Trusted Sites, may be solutions.
"3. Why don't I see a song title or artist namein the player?
Song title and artist name data is married with the stream of music by the Windows Media Encoder. When this data arrives at your PC, it is displayed using an ActiveX control. However, because all Macintosh browsers and PC browsers other than Internet Explorer do not provide ActiveX support for the Windows Media Player, that information cannot be displayed when those browsers are utilized."