No. Pocket WMP doesn't deal with PLS playlists, and unless the
streams/files referenced by the playlist are Windows Media format,
Pocket WMP won't play them anyway. Get a better player, try:

TCPMP (http://tcpmp.corecodec.org), or
GSPlayer (http://hp.vector.co.jp/authors/VA032810/) or
MortPlayer (http://www.freewareppc.com/multimedia/mortplayer.shtml)

Can I play PLS file using WMP? I could play the streaming radio in my
laptop after I created a playlist in ASX format, but it does not play
in my PDA.

K