How to create an Audio playlist
The http://drupal.org/project/jplayer module allows for playlists and so forth, but unless you are up for some obfuscated javascript and a whole bunch of other coding (that in the end is nevertheless subvertible [sp?]) the mp3s will still be downloadable by most advanced users.  (Or perhaps investigate the private file serving methods drupal offers, but then you have to balance the overhead there)