Well, its basically a play list, so if one person clicks on it, then 2 minutes later, someone else clicks on it, I believe they would hear the same songs, but the second person would be 2 minutes behind.
As for downloading the files to their computer, if the user really wanted to, I am sure they could. The mp3 file is getting to their computer somehow, so I am sure they could keep it there if they want. The plus side is that if they just try to "save as" the .m3u file from your site, they will only get the playlist.
Dont quote me on any of this though, as I haven't really messed around with m3u files much. This is all "to the best of my knowledge"!