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This is the default behaviour of all browsers when the mp3 extention is used. It would be the same for .rm, wmv, mpg, .avi etc etc. In the end, it's the users preferences depending on what media player options they have. In some cases it will open up and ask to 'save as...' but in all likelyhood, it will just play autmatiaclly.
The only surefire way to avoid this from happening is to .zip your file and offer 'that' as a download instead.