I don't think there's an easy fix for this, plus it depends on what media player they're using.
If they use Windows Media Player, you can read about it here (http://support.microsoft.com/default.aspx?scid=kb;EN-US;q189416%3C/font%3E), but basically I believe it'll try using TCP port 80 if its standard port of 1755 doesn't get through, so you'll run into issues blocking that. Try blocking TCP 1755 and see how you go. I tried a connection and it definately used 1755, but that's allowed outbound here so not sure what'll happen if it get's blocked.
If they use Real Audio, then that'll use TCP port 80 also, so you're going to have trouble filtering that.