I need to have a music player on a website, and I want it to stream songs, but don't want it to refresh when the user selects links on the page.

A perfect example is at  WQXR. They have a music player on their site, and you can play their stream, but can click around and the player doesn't refresh (stream is not interrupted).

What are some methods I can read about that would allow me to do this?

Thanks
Jay