Create some directory and put a file in there that has only the line "http://www.bbc.co.uk/radio2/realmedia/fmg2.ram" and the extension of your chosing (for example *.playlist).
Then you have to modify your mplayer.sh to add -playlist to mplayer command line when playing files with this extension.
I'm still learning many scripting tasks - can you suggest a way to test if a file has a '.playlist' suffix?