You can't just use a special link to protect media content from downloading.

Streaming servers were invented to prevent media downloading. However the most popular formats can be downloaded with Stream recorders.

Possible solutions:
1. Use DRM (Digital Rights Management) protection
2. Use streaming format/protocol that can't be downloaded ATM (such as RTMP protocol Flash files)

How the above mentioned solutions can be abused :
1. Using DRM removal tools (exist not for all formats)
2. Record by Video screen capture software and direct sound recording software. Hardware and software must be changed to prevent the usage of such programs. Windows Vista may bring a new solution. Will see how viable it will be.

IMHO the solutions of your problem:
1. Use low-quality free media files
2. Use 15-30 second previews