Server 2003 Media Streaming

I am running a small server running Server 2003 on it in order to take advantage of the media streaming and publishing points capabilites on it. To date I am able to add my media, create a publishing point, and create the media announcement for the content. However, wwhen I go to test it by opening the URL in Windows Media Player 9.0 that is provided from the publishing point announcement, I am unable to locate or play the content. I am creating a .ASX format whcih is upported by Media Player but no luck. I am wondering if anyone out there has ANY experince with this technology since I am obviously doing SOMETHING wrong here!

Thanks!
Joel