Two more things you check:

1. Try clearing the cache in your browser. If you're using Internet Explorer that is: Tools-->Internet Options-->Delete Files (under Temporary Internet Files)

2. Make sure there is a music player associated with the '.mp3' file name extension.

From Windows Explorer:
Tools-->Folder Options-->File Types

Scroll down the list of file name extensions looking for 'MP3' (list should be alphabetical).
If there is no program associated w/ this extension, or you want to change which program is, click 'Change' and select the program. Typically you'll want 'Windows Media Player' unless you've installed an alternative such as Winamp.

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