The Windows Media Player built-in to Windows Mobile can't play the mp3 streams from SlimServer. I wanted to be able to listen to all my music where ever I am, without having to have a copy with me.
I found this page that mentioned GSPlayer. This is a simple Windows Mobile audio player that plays mp3, ogg vorbis and wav files. In addition to local files, it can play various streaming formats. It works perfectly for playing the streams from SlimServer.