Members being asked for username & password twice!

Hi. At the moment I have mp3s in a password-protected members area. I am streaming the mp3s using m3u playlists. There is one thing bugging me though, and bugging users of my site as well I suspect, which is that members are asked for their username and password twice - once by their browser, when logging in to the members directory, and once by their media player, when they actually click to stream the files.
I was wondering if anyone knows a way of circumventing this inconvenience. Is there a way? E.g. can the members username and password be passed on to their media player whenever they stream a file? Would I have to switch to another means of streaming the files?