You don't have a simple method to do that. In order to use the built in player, the data has to be unencrypted.
Now, that's not to say it's impossible. You just have to write an
audio filter driver[
^] (in C) that decrypts the stream on-the-fly. The filter driver would sit in the filter graph used to play the stream.
Oh, and you also have to write code to encrypt the stream into a file.
This is FAR from a trivial task and samples are hard to come by.