In the same manner you describe; the user clicks the link and it plays in
their media player/browser.
To save the file, they would need to right click and save the file,
according to the procedure for their particular browser.
Or you can "Zip" (compress) the file(s) and link to the *.zip file; this
will be prompted to be saved by the user's browser.
They save the file to whatever location they specify, then they can load it
on mp3 players or into iTunes or whatever.
