a small trick to do this

Open Windows Media Player, choose Tools->Options, click "File Types" tab, clean the "MP3" box, close WMP. Now windows won't play mp3 for you and will actually start downloading if you give it an URL for an mp3 file.

Copy and paste the URL to the address bar on the top of your IE and see what is happening. You may even do multiple downloads this way (but just think about the other poor buys hanging over there).