Wes,

Blocking the streaming depends entirely on how it is accessing the internet. The only thing that we know for sure is that it's not accessing the site via HTTP, otherwise the WSA would have blocked it (assuming you've got that site set to block).

It's fairly common for streaming players to use RTSP or MMS directly on their native ports. This will bypass the WSA. If this is the case, there isn't much that you can do other then block it on your firewall.

There are a few other methods the client could be using as well to avoid the proxy.

Your best bet is to take a packet capture on the client machine when it connects to the streaming server, to see exactly how it gets out to the server.