Yes, you can. You use an m3u file.
Go here for more info: http://iocon.com/das/technical_str.shtml
Make sure you put a carriage return after the line in order for it to work correctly.
Basically, the m3u file is a text file you make in notepad or simpletext. In it you simply put the entire URL to the mp3 file such as
Then make your link
<a href="myfile.m3u">Play the mp3 file</a>
The only problem is playing behind proxy servers and firewalls, which is what I came on this board to research.