iTunes indeeed doesn't seem to want to play it--perhaps it doesn't recognize streaming AAC?
Regardless, all I had to do was drop the .pls file I downloaded for the Arizona server on VLC and it's playing perfectly. If you're having a problem with VLC, either you don't have the latest version of it, or it's a network problem on your end.
Nice station, by the way.
(Oh, and @Soulstorm: VLC doesn't really do a library, but it does support saved playlists, which is relatively close depending on what you're doing. Just click the little button over on the right side of the controller window to show it.)