Hello guys and thank you for your replies!
Up to the moment I have tried only .swf files. The problem with them is that a copy of the streamed file stays into your Temporary Internet Files Folder, which I dont want.
I ve seen that it is possible to stream (many types of) audio files by having a playlist/redirector file on to your html page. Having for example an .m3u or an .wax file pointing to an .mp3 or a .wma respectively. In this way, if you right click the link only the redirector/playlist file gets saved and not the actual audio file.
What I dont know is if the server, where my page is uploaded, needs to have a specific program or something that allows audio streaming.
I have two other questions and I d like your opinion.
The first question regards the amount of compression and the size of the files. Do you think it is better to have CD-quality or transparent-quality demos? Or is it better to have them in a lower quality for quicker streaming (PSTN/ISDN) and in order to avoid that they get ripped by other means?
The second question is somehow related to the first and has to do with the format. Mp3, Mp3Pro, Ogg Vorbis, Wma... I want a format that it is easy for everybody to play (Win, Mac) and that doesnt need any special players (or if it does, these are simple and small programs that can be downloaded very easily and quickly). I did various tests with the above mentioned formats and it seems that Ogg Vorbis is WAY ahead from the others. Better sounding and smaller. The problem is that in Windows only Winamp seems to support it (WMPlayer 9, doesnt open it). Do you know of any other programs that do? Or is there any way that I could install a codec for WMP to be able to play it? And what about Mac? Are there any common players that support it?
Thanks a lot for your help!

I think this topic can be useful as well for others, who plan to create a web page with their music.