It will depend on how your browser is set up to play .mp3s. If Windows Media Player is your default .mp3 player, it should start to play before the whole file is downloaded. If another player is your deafult .mp3 player, it might be trying to download the whole file in the background before it will play. This is especially common with Quicktime. To avoid the error, you can right-click on one of the links and save-as to a location on your PC. Then, you should be able to listen to it after it downloads.