We present a polynomial time approximation algorithm for constructing an overlay multicast network for streaming live media events over the Internet. The class of overlay networks constructed by our algorithm include networks used by Akamai Technologies to deliver live media events to a global audience with high fidelity. We construct networks consisting of three stages of nodes. The nodes in the first stage are the entry points that act as sources for the live streams. Each source forwards each of its streams to one or more nodes in the second stage that are called reflectors. A reflector can split an incoming stream into multiple identical outgoing streams, which are then sent on to nodes in the third and final stage that act as sinks and are located in edge networks near end-users. As the packets in a stream travel from one stage to the next, some of them may be lost. A sink combines the packets from multiple instances of the same stream (by reordering packets and discarding duplicates) to form a single instance of the stream with minimal loss. Our primary contribution is an algorithm that constructs an overlay network that provably satisfies capacity and reliability constraints to within a constant factor of optimal, and minimizes cost to within a logarithmic factor of optimal. Further in the common case where only the transmission costs are minimized, we show that our algorithm produces a solution that has cost within a factor of 2 of optimal. We also implement our algorithm and evaluate it on realistic traces derived from Akamai's live streaming network. Our empirical results show that our algorithm can be used to efficiently construct large-scale overlay networks in practice with near-optimal cost.