I'm thinking of getting a Roku HD-XR. Are there any add-ons that will let me enter my own URLs and play streaming video off of an internet site?
Yes and no.
The bad news is that ROKU can not play videos off an arbitrary web site. Furthermore the ROKU will only play a handful of video types, and can't handle web video sources such as flash. While those video types (that the ROKU can play) are currently semi-popular in some areas (they overlap a lot with what video types the iphone and ipad need, for example), there are still a large number of videos that can't play on the ROKU.
However, the good news is there are some ROKU "channels" (the free SUNIMI channel for the ROKU is my favorite in this area) that will let you add some of your own video content to the ROKU, simply by pointing to the proper video link. And since the programmer's API has been released by ROKU, there is nothing (other than the effort involved) preventing you from writing your own "channel" for the ROKU, to stream content you have access to (and which is either formatted for the ROKU, or which you can translate before sending to the ROKU). However, both approaches have some semi-serious limitations:
1) You need to find the actual link DIRECTLY TO THE VIDEO, for you to make that video stream available on the ROKU. Simply finding a web page where you can play that video (on your PC) isn't sufficient, and the ROKU has no built in web browser. In order to have the video play, you need the "deep link" that points directly to their video streams (on in the case of SUNIMI, you can also sometimes also use video "podcasts" links, provided those RSS links include the direct video stream URLs in them).
2) The video source needs to be able to stream via http. In the specific case of the web site you linked to, the media links look like they are being streamed by "mms" (an alternate streaming protocol). This means that you will likely NOT be able to view this video on the ROKU (unless you can find an alternate stream that is being done by the needed http streaming).
3) As mentioned before, you are limited to the video formats that the ROKU can handle. If/when you video is in some other format it won't play on the ROKU. This may or may not be a problem in your specific example (I haven't looked deep enough at that web site, to tell if it has ROKU compatible streams or not).
4) While making your own "channel" for the ROKU is the most flexible of the options, it is also is a moderately technical exercise (check out the developers "SDK" forum, if you want more info). Furthermore, since the ROKU is controlled by XML files streamed via http, if you want to make your own channel you will likely need to setup some simple "web server" on your LAN (to help control the channel with).