Well, I'm not 100% sure if you want use foobar or you're willing to try winamp... anyway
in_wm.dll is included in winamp - you can find it in "program files/winamp/plugins" and that's all you need to play wma stream in winamp, however you have to remember that *.asx files are not actual streams only files that point to the stream. What you need to do is download asx file and open it in wordpad or notepad and see what the acutal stream is. So, just to show how to do it:
1. I just found this website with some radio stations:
http://www.yrguk.com/radio/radio_text.htm
2. download one of the asx files ( I d-loaded this
http://www.woxy.com/stream/wma20.asx just right click and use "save target as")
3. open it in wordpad and you should see this:
<asx version = "3.0">
<title>97X Live Broadcast [20k mono]</title>
<abstract>97X The Future of Rock and Roll</abstract>
<entry>
<ref href = "
mms://woxy.liquidviewer.com/woxy24"/>
<ref href = "
http://woxy.liquidviewer.com/woxy24"/>
<Title>97X</Title>
<Author>www.woxy.com</Author>
<Copyright>2004 X ALT, LLC</Copyright>
</entry>
</asx>
streams are in bold and you can use either one of them
4. in winamp go File->play url and enter:
mms://woxy.liquidviewer.com/woxy24/.wma
or
http://woxy.liquidviewer.com/woxy24/.wma
give it few moments and it should play. Don't forget "/.wma" at the end
As far as foobar goes it looks like it needs one more file "foo_winamp_input.dll" to do the same, but I'm not sure as I don't use foobar.
Good luck.