A bit of an aside, but for anyone who thinks this sort of thing is technically cool, Free Download Manager will let you look inside a remote ZIP file (of any size) and let you pick the files you want to download. Relatively simple to implement, but cute. It's the only open-source download manager offering this, I think.
I believe this can be achieved via a combination of httpfs [1] and archivemount [2]. Not sure about the reliability, but I think the approach is more general - you could even stream from within a remote archive this way, using whatever program you wanted. The job of an archive reader, disk reader, or "server reader" should be to translate these things into the filesystem so that all programs benefit. GNU Hurd took this approach, with the native ability to mount tarballs and FTP servers as filesystems, and POP3 as an mbox file.
Incidentally, I can't find any archives with audio hosted on a server that supports Accept-Ranges on the open web. I'd appreciate a link if anyone finds one.
Update: AVFS [3] seems to be an all-in-one solution that handles HTTP, FTP, WebDAV, Zip/RAR/Bzip, SSH, and others. Also see "podfuk" [4], though it looks pretty ancient.
(http://freedownloadmanager.org/ is a bit Softonic-esque, probably because of the program's heritage; the code's over at https://sourceforge.net/p/freedownload/code/HEAD/tree/trunc/, last checkin 2 weeks ago - and the project description says "we also plan to port it to Linux/OS X," which is cool)