Nokia Lumia 820 - How do I set up Windows Media Player to be able to use the Lumia Play to app?

In order to set up Windows Media Player for use with the Lumia Play to app, do the following:

In the Windows Media Player library view, there is a Stream menu.  Under this menu there should be a Turn on media streaming item.  After you have turned it on, the Stream menu will now show 3 options.  Ensure that 'Allow remote control of my Player' and 'Allow devices to play my music' are selected.