Streaming sucks, at least when it’s your only option. I mean, who wants to be tied to a wire when you could otherwise be walking around with the MP3 in your pocket? But sometimes you want to listen to an MP3 right away, without having to wait for the download to finish first. Well, in Winamp or xmms, you can just open the URL of the MP3 and it’ll play as it downloads. Hence, you’re streaming it. But I don’t recommend this method—it doesn’t give you enough control, like having the MP3 on your hard disk once you’re done.
Rather, in Linux, start the download with wget and then open the partially-downloaded file in xmms. You can play it as normal, as long as the downloading stays ahead of the listening. This works because Linux allows you to read a file as it’s being written. It does the Right Thing (TM). If you need to skip around in the file as it’s playing, you might have to quit and restart xmms, though.