Ah, you need to encapsulate the mp3's.
There is nothing wrong with your server or the Mogul, this is just how web browsers work. You may notice the same thing on a PC as well (clicking an mp3 file will download the entire mp3 before opening and playing it!).
You see, all web browsers will invoke certain applications when a registered filename extension is downloaded. For example, if you wanted to play flash video (.flv), video streaming sites such as youtube will send you a much smaller .swf player that will refer to and open the .flv instead of asking you to download the whole thing first.
In order to stream mp3's instead of downloading them, you'll need to create a reference file that invokes the mp3 player and tells it to refer to your file.
This can be done in a few ways, the two most popular:
1) create a text file that ends in .m3u, and place the path to the mp3 inside it.
Example:
mysong.m3u contains:
http://www.myserver.com/mydir/mysong.mp3
2) create a windows media .asx stub file. This works for streaming video as well!!
Again, open a text file editor, and place this code in the file:
<ASX VERSION="3.0">
<ENTRY>
<REF HREF = "http://myserver.com/mydir/mysong.mp3" />
</ENTRY>
</ASX>
Let me know what works for you!
I know about this sort of thing because I've done it before (I work in web design). I have actually written a php script somewhere that will automatically generate the asx file on a dynamic real-time library of audio lectures.
Good luck!