Hey! That’s actually my site!
There’s an easy way to do it, but I’m not sure how many audio players it will work on. It’ll definitely work on Winamp and iTunes though, and it’s easiest to setup using Winamp.
Open Winamp, and on the playlist window, hit the “add URL’ button. Put in the full URL for the mp3 files on your webserver (something like “https://www.yoursite.com/music/song.mp3”). Save a playlist (.m3u) file and upload it to your webserver. Now make a link to that .m3u file. When a visitor clicks on it, they can either open it directly in their media player, which will stream the song, or download the playlist file to their disk, which will stream the song when they open it.
I might have to do that on my site now…