ok folks, I've done a bit of research into this now and I've worked out exactly what Flash MX is doing.
Here was my situation:
A site on which the user could listen to a variety of sound clips. When they pick a section the piece of music streams down. In Flash 5, when they selected a different section the first piece of music would halt downloading, allowing the second piece to take the bandwidth and stream down.
In Flash MX however, even after the movie clip has been removed from the timeline, the piece continues to be downloaded in the backgroud, it doesn't play, it doesn't have any effect on the timeline. However it hogs the bandwidth and stops anything else being loaded in until it's finished.

I've hunted around a fair bit for a solution, some way of stopping a movie/mp3 being downloaded, but I have found none.
There must be a way of doing it, otherwise it's simply not possible to implement a properly streamed site any more.

Does anyone here know of a way to sort this out?