I just found out, that now you can easily watch CNN live via web browser.
Go to the page: edition.cnn.com/live/
This is the first time I got this working under Linux. Before this all my attempts to watch CNN via http://www.cnn.com were not successful. Nice thing.
Other possibilities to watch CNN via Linux are Livestation (actually a player from microsoft, but runs also on Linux) and Zattoo player. The actual reason why I seeked CNN live via web is because both players do not work for me. LS does not display images any more on Ubuntu 8.10 and Zattoo seems to have a network problem. But generally both should work.