If you want to play this sound locally, you must first download it.
You simply cannot βplay anything from the Internet,β because the machine that plays this sound is your local machine. He must have a copy of MP3.
After that, there may be ways to start playback before the download is complete, but there will be a download anyway.
EDIT : AndroidDeveloper, in another answer on this page, provided you with information on how to make threads (+1!). This is consistent with what I said above, so it seems that there is a way to start playing before the download actually completes, even if this download happens at the end.
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