You can tell the browser which MIME type it's looking at by
adding this to your .htaccess file:
AddType audio/mpeg .mp3
The browser will then handle the file according to the method
listed in its configuration for that MIME type, which will
normally involve opening the player software, if it exists on
their computer.
However, it's impossible to totally prevent people from
downloading the file. The file must be downloaded onto the user's
computer in order for it to be played.
Why don't you offer a download of just a sample of the song
instead of the whole thing?