Sure, you can put the player on your site and then use an absolute web address in the player to load the external file from another site or Web address.
The address could be... for example:
http://www.uncledoodad.com/02_05_11/...e_02_05_11.mp3
must be complete with the "http://www.yoursite.com" part.
Use that as the path in your player to the .mp3 file.
Best of luck,
Video Man