Check out the article Flash Satay over at A List Apart (http://www.alistapart.com/articles/flashsatay)
If you don't have Macromedia Flash (the program, not the player), then go to http://www.housemarik.net/albatross/ and download mine.
Btw, this is a streaming problem. Internet Explorer will not stream the file. It has to wait until the file has completely loaded. Using the container file fixes this.