Accretion processes play a crucial role in a wide variety of astrophysical systems. Of particular interest are magnetic cataclysmic variables, where, plasma flow is directed along the star's magnetic field lines onto its poles. A stationary shock is formed, several hundred kilometres above the stellar surface; a distance far too small to be resolved with today's telescopes. Here, we report the results of an analogous laboratory experiment which recreates this astrophysical system. The dynamics of the laboratory system are strongly influenced by the interplay of material, thermal, magnetic and radiative effects, allowing a steady shock to form at a constant distance from a stationary obstacle. Our results demonstrate that a significant amount of plasma is ejected in the lateral direction; a phenomenon that is under-estimated in typical magnetohydrodynamic simulations and often neglected in astrophysical models. This changes the properties of the post-shock region considerably and has important implications for many astrophysical studies.