Whenever I open an MP3 in Firefox, it always wants to download completely before it starts Windows Media Player. Is there anyway I can listen to the MP3 while it is downloading after it has been opened in Firefox? I hate having to either wait for it to finish downloading or copy the MP3 URL and opening it with WMP manually.

Well, there's the Windows Media Player plugin, but I'm not sure that'll do what you want...

Try Launchy

To use Launchy: Right click on the .mp3 link and in the context menu go to Launchy, then Open in WIndows Media Player. This works with video links too.

Although, I should tell you there have been instances for me, when links on certain sites wouldn't open Windows Media Player, or even Media Player Classic to play said media.