Firstly (as you probably know) you have to convert your mp3 into a streamable file.
The most common one is RealAudio by real.com, I believe you can download a demo of RealProducer which allows you to covert the mp3 file into the streamed realaudio file. Another popular streaming tool is Windows Media Encoder by Microsoft. I remember that RealProducer includes a set of wizards to help you convert the file into its streaming format. I can't remember if Windows Media Encoder has one, but being Microsoft it probably does.
Now if you use RealProducer it will covert your mp3 file into a .rm file (if I remember correctly, it has been a while). Next you open up a text file (try Notepad) and copy into it the url of the .rm file, such as:
You then save this file with a .ram extension. You then embed it as you would any other media file, by using either the embed or object tag. Obviously the source being the .ram file.
If you choose Windows Media Encoder then that will convert you mp3 file into a .wma file. Now you open a text editor again (like Notepad) and type the code below into it.
<ref href="yourfilename.wma" />
Now you save this with a .asx extension. You then embed the .asx file as you would any other media file, i.e. using object or embed.
Well that is as much as I can remember with my rusty knowledge. I hope it helps!!!