The reason this can't be done without a server-side language is the potential security threats that it poses for users.
You wouldn't like "accidentally" downloading a virus from a site, now would you?
However, as long as the user's browser doesn't support displaying (or playing, in your case) any filetype, it will automatically prompt the user if they want to download the file. So if a browser doesn't offer support for playing mp3 files (I know Chrome does, maybe Firefox), then it should be "automatically downloaded" when clicked.
If you really need another way, though, it can be done with ASP. Here is a tutorial.