Jiddu:
RealMedia provides the ability to use a remote call through a text file with the .ram extension. The .ram file is what is referenced in the HTML link, and in it is a reference to the "real" RealMedia sound file. The .ram extension induces RealPlayer to fire up and handle the playback of the "real" file. Since the file reference in the link isn't the sound file, one can't simply download the sound file through a "Save target as...," and one can hide the "real" file on a separate server. In addition, Real monopolizes your sound card preventing the track from simply being recorded as it streams. Complete instructions are on Real's website.
Having said that . . . If your desire is to prevent someone stealing your music, there are plenty of ways around this. "Total Recorder" software sets itself up as a virtual sound card, and can record anything passing through the real one, including a RealMedia stream. The only real protection is the fact that RealMedia, being a highly compressed format, tends to be lower quality than MP3 - hence tekminus's remark. It does have its place, however - it gives somebody a listen to your music without the results being good enough that folks are disinclined to purchase the source.
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"The problem with the world is that the ignorant are cock-sure, whereas the intelligent are full of doubt." - Bertrand Russell