Computer Hope

I would like to know how do i get a music file or video file to play instantly when i click on it? On the old computer i could go to a website see a file that ended in mpg or mp3, click on it and it would play instantly. Now on this computer, I click on mpg or mp3 and I have to wait for it to download before i can open it, i would like to get back to the instantaneous play. Thanks for the help

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