My guess would be File -> Open Network Stream.
Chose the appopriate type of stream and type a URL, should begin streaming just that easily.
It will probably say "The file is broken" but you can still play the file just fine and such.. this just means that because the file is being streamed the playtime for the movie/tv show is unknown because its stored in the tail of .avi file.
Let me know if this doesnt work.
-Kurt (This should probably be moved right?)