MediaPlayer.setDataSource() and prepare() not working - android

Try MediaPlayer.create(), you also may want to start only after player is actually ready, for example:

@Override
public void onCreate(Bundle savedInstanceState) {
    super.onCreate(savedInstanceState);
    MediaPlayer player = MediaPlayer.create(this, Uri.parse("http://www.urltofile.com/file.mp3"));
    player.setOnPreparedListener(new OnPreparedListener() { 
        @Override
        public void onPrepared(MediaPlayer mp) {
            mp.start();
        }
    });
}

For streams, you should call prepareAsync(), which returns immediately, rather than blocking until enough data has been buffered.