I notice that some forum users "stashbox" mp3s open up in yahoo media player when you click on them, how do I get mine to work like that?

That is a browser-specific setting: not everyone is going to have mp3s set to open automatically, and not everyone is going to have yahoo media player as their default. If you want this to happen on your computer specifically, I'd recommend installing yahoo media player and making it the default for mp3 files, then set your preferred browser to open mp3s by default. Does that answer your question?

You'll probably want to look into some kind of Flash-based player that allows people to stream your mp3s from within their browser, provided they have Flash installed.

Thanks, can you suggest any?

JW FLV Media Player 4.2 

I'm using this one on my website (check it out):

The required coding...