You really can do the embedding thing. You can embed windows media so that it plays, but doesn't offer a download link.
Have each link from the discography page open a tiny page with some pic and the embedded player in a new window.
Then embed the song the same way people do it in their web pages, one tiny page for each song, with an ad or some art or something for people to see while they listen.
A determined individual may be able to scan your source and download it directly, but most won't. And there are ways to hide that, too. Windows media embedding gets you to about what, 80% of the web right now?
I've never looked at embedded flash players, so I don't know how easy that is. But it probably gets you that other 20%.
Who's your audience?
