I was facing the same problem and found a solution to get the code to work.
The code given in the android-Sdk/samples/android-?/ApiDemos
works fine. Copy paste each folder in the android project and then in the MediaPlayerDemo_Video.java put the path of the video you want to stream in the path variable. It is left blank in the code.
The following video stream worked for me: http://www.pocketjourney.com/downloads/pj/video/famous.3gp
I know that RTSP protocol is to be used for streaming, but mediaplayer class supports http for streaming as mentioned in the code.
I googled for the format of the video and found that the video if converted to mp4 or 3gp using Quicktime Pro works fine for streaming.
I tested the final apk on android 2.1. The application dosent work on emulators well. Try it on devices.
I hope this helps..