I just wanted to clarify a few things to make this easy for everyone...
Kinoma free play is a free application and you can get it here:
http://kinoma.com/freeplay/get/
It is a great little media player that does a ton of stuff for being free and there is also a paid version that unlocks even more goodies. For the purposes of streaming from Subsonic, the free version is sufficient.
In my subsonic settings under the "Players" section, I have the player set as "External player with playlist"
I went on my phone's web browser to the wap site, selected some music to play and then choose the option to "Play on phone". This then asks me if I would like to open or save the file (play.m3u). In the past, I would open the file and it automatically opened in TCPMP. To get it to open in Knoma, just save it the first time to your memory card and than navigate to the file in you mobile file explorer, long press on the file and select "Open with program", check the box that says "Associate selected program with this file type" and then select Kinoma FreePlay from the list of applications. Now that the m3u file association is set to Kinoma, you can choose to open the m3u file in the browser instead of save it and it will automatically open in Kinoma.
I am doing this on a T-Mobile US HTC HD2 and it has worked over WiFi and the mobile 3G network. I do have a custom ROM on my phone and I installed the file explorer extension add-on application(among many others) but I believe that this method should still work with any windows mobile phone with the stock settings.
I would also like to point out that the Subsonic app for android is amazing and it would be nice to see an app for the windows mobile platform as well.