MP3 file from Internet

I am making a program that will download my friend's band's MP3 files from the Internet, but I don't want them to get the songs, other than through the program. I've decided to use the Windows Media Player, because I thought I could just try:

WMP.Open "http://www.myserver.com/mymp3.mp3"
(it is an HTTP server, so I can't use FTP)

But I tried that, and it does not open the file. Is there a way to do this with WMP? If not, I need some code to get the file via the Inet control or Winamp, but allow me to cancel the download if the user does not want to wait. I would also like a status bar, but it's not necessary at the moment.

I would like to use the WMP, unless using Inet is easier. I have the byte array code, and I can download the file, but I want to be able to let the user cancel, and like in WMP, play the song as it downloads, if it is possible.

Thanks anyone that tries to help