The vast majority of these types of problems occur as a result of the connection speed of your computer.  Dial-up access even with a 56k modem is only as fast as the phone line in use.  Here is a step you can try to help improve the situation:

Go to Windows Media Player on the start menu under programs.  Open the player, go to "view", and select "options".  Click on "advanced", highlight "Streaming Media (Windows Media)" and then click on "change".  At this stage you may change the "buffer" rate of your audio before play begins.  Increasing the buffer rate number (30 seconds) may help.  Adjust the number to best meet your needs.  Just know that any connections less than 30kbps can sometimes experience this type of problem.

For Windows Media Player 10 - go to Windows Media Player, in the upper right hand corner of the task bar click on the down arrow revealing a menu, then select Tools.  Click on the right arrow, and choose "Options".  Under "Options" select "Performance", and go to Network Buffering.  Click on Buffer, then adjust the "seconds of content" to best improve your audio quality level.