Nokia Lumia 710 - How do I set up Windows Media Player to be able to use Play To?

To set up Windows Media Player for Play To, do the following:

In the WMP library view there is a Stream menu.  Under it there should be a Turn on media streaming item.  Turn it on and then that Stream menu will now show 3 options.  Ensure that "Allow remote control of my Player" and "Allow devices to play my music" are selected.