I believe the original poster was referring to the old Java based mobile player that used to be included in subsonic in the /mobile folder. This app is no longer included in the new versions. I never had any luck getting it to run either.
I tried (unsuccessfully) the TCPMP (The Core Pocket Media Player) solution on my Windows Mobile 6.5 (HTC Tilt 2).
As I spent over an hour trying I figured I would go ahead and post what I tried to see if anyone else wants to give it a shot or see if they have other ideas.
1) I had to find a version of TCPMP that would work with the newer Windows Mobile devices as the official TCPMP project is dead. The XDA-Developers forum does have some modded versions that I was able to install and get to work.
http://forum.xda-developers.com/showthread.php?t=380387
2) I then went to my subsonic web site using my phones browser.
http://mysite/wap. I chose a playlist and hit "play on phone". This of course failed as there is no application associated with .m3u. I did this step just so I would have an .m3u file on my phone. By default my phone saved the file in the "My Documents" folder.
3) I opened TCPMP and chose to open a file. I browsed to my "My Documents" folder on my phone and opened the play.m3u file that I downloaded in step 2. It of course gave me an error, but the purpose here was to have WM6.5 know that the .m3u file should be opened by TCPMP.
4) I now went back to my phones browser and again browsed to the /wap folder on my subsonic server. I chose another playlist and hit the "play on phone" button.
Results: It does open TCPMP and attempt to play the file, but it gives me the error "unable to open URL"