I am curious to learn how this magic might be achieved to play a sound file without downloading it. It is just plain impossible. All one needs to do is run an audio recorder like Audacity, then stream the music.
How about an embedded media player? Easy enough to do with a playlist file. Only the playlist loads with the page. The MP3 file referenced by the playlist loads when the user clicks the play button.
<EMBED ID="PlugIn1" SRC="Playlist.asx" BORDER=0 HEIGHT=64 WIDTH=313 ALT="Track Title" Autostart="0" Type="application/x-mplayer2" ShowStatusBar="1" Pluginspage="click here">
Playlist.asx is a simple text file:
<!-- Track 1 -->
<ref href="blank.wav" />
<!-- Track 2 -->
<ref href="Filename.mp3" />
The tiny blank sound file "Blank.wav" is played when the page loads.
To protect the sound file, just use low bitrate samples or short samples.