The ones that use their own ports (eg. Quicktime) for it are pretty easy to kill, as all you need to do is close down the particular ports in question.
RealPlayer and Windows Media Player are a little tougher as they can stream over port 80 and thus require some filetype extension blocking (eg. *.rm, *.ram,*.wmv and so forth).
The only catch to this approach is that there's no way to tell radio streaming from normal video clips, thus if you kill one type of multimedia, you're likely to kill them all.
Regards,
Luke