If by live streams you mean Windows Media over HTTP, you could try this:
First define a GUID for CLSID_NetShowSource, something like
#include <initguid.h>
DEFINE_GUID(CLSID_NetShowSource,
0x6b6d0800, 0x9ada, 0x11d0, 0xa5, 0x20, 0x0, 0xa0, 0xd1, 0x1, 0x29, 0xc0);
Then you can use it as follows:
IBaseFilter* wmsrc;
//create a basefilter instance from the GUID
hr = CoCreateInstance(CLSID_NetShowSource, NULL, CLSCTX_INPROC_SERVER, IID_IBaseFilter, (void**)&wmsrc);
if(!FAILED(hr))
{
IFileSourceFilter* fsf;
//get us a file source filter, this can read from urls
wmsrc->QueryInterface(IID_IFileSourceFilter, (void**)&fsf);
if(fsf)
{
//wFilename is a widechar string containing the stream url
hr = fsf->Load(wFilename, NULL);
if(!FAILED(hr))
{
//at this point you can do as you wish with the filter
}
}
}
It's been a while since I implemented this, I hope it's helpful. I'm pretty sure this snippet is missing some error checking.