First of all, that site is Windows Media, which would never work on the iPhone. Secondly, the iPhone doesn't support continuous streaming audio, only mp3's can be downloaded into the built in Quicktime player. And lastly, yes, I have an iPhone, it doesn't work.
This has been discussed in other threads though about a possible future update to the iPhone, as the hardware--at least using wifi--seems perfectly capable of such a task. I would even argue that 64 or 96kbit streams would work on Edge. I've been able to stream 128kbit mp3's within seconds of opening without having to rebuffer from SeeqPod using Edge out in the middle of nowhere in Missouri on a road trip to Chicago. It was quite fun since it was hooked up through the car audio to be able to enjoy whatever song we desired within seconds.