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private void LayoutRoot_Loaded(object sender, RoutedEventArgs e)
        {
            mediaElement1.Source = new Uri("http://mp3.podcast.hr-online.de/mp3/podcast/derTag/derTag_20101028.mp3", UriKind.Absolute);
            mediaElement1.Play();
        }

        private void mediaElement1_MediaFailed(object sender, ExceptionRoutedEventArgs e)
        {

            MessageBox.Show(e.ErrorException.ToString());
        }					

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<?xml version="1.0" encoding="utf-8"?>
<access-policy>
  <cross-domain-access>
    <policy>
      <allow-from>      
        <domain uri="*"/>
      </allow-from>      
      <grant-to>      
        <resource path="/" include-subpaths="true"/>
      </grant-to>      
    </policy>
  </cross-domain-access>
</access-policy>					

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private void btn_play_Click(object sender, RoutedEventArgs e)
{
    WebClient wcl = new WebClient();
    wcl.OpenReadCompleted += new OpenReadCompletedEventHandler(_downloadFertig);
    wcl.DownloadProgressChanged += new DownloadProgressChangedEventHandler(_downloadProgress);
    wcl.OpenReadAsync(new Uri("http://blabla.com/bla/eins zwei.mp3", UriKind.Absolute));
}

private void _downloadProgress(object sender, DownloadProgressChangedEventArgs e)
{
    progressBar1.Value = (double)e.ProgressPercentage;
}

private void _downloadFertig(object sender, OpenReadCompletedEventArgs e) {
    try
    {
        mediaElement1.SetSource(e.Result);
        mediaElement1.Play();
    }
    catch (Exception ex)
    {
        MessageBox.Show(ex.Message);
    }
}