Using the action tag, a Windows user can choose to download (instead of play) by right-click and choose "save file." Apple users have their own way of doing it. You could give instructions, although most users probably know this by now.
If you use that fancy flash mp3 player, the user will not be able to save the file. To allow the user to download the file, add the action tag beneath the flash player. Then add this to you htaccess file:
<files *.mp3>ForceType applicaton/octet-stream</files>
Now the action tag will not play the file, but only download the file.