if the link is directly pointing to your song file (whatever.mp3, etc) then it'll open in your music player. sites like soundclick, etc don't have the ability to directly link to the actual mp3 as far as i know, but rather just a link to a page containing the songs.
try http://www.lightningmp3.com . ran by one of this boards members - i started using it recently and it's perfect for linking to songs posted for critique on these boards.
Ok, looks like you can just right click, and copy the link, then click on teh thing to add a link in teh middle of the reply screen, give the link a name, and add teh shortcut. I've seen some people do streaming this way also, but I'm not sure all from soundclick work.
Ed
Thanks all. I suppose just doing it how I do it now is ok...pretty infrequent...and hey dogman, nice 'Come Together'....how good are some of the covers in that Beatles thread??!