Zipping a file won't prevent hot linking from other sites. You need to take care of that kind of stuff at the server level (in general).
I put up some information on
understanding compression ratios here. It explains a bit about why zipping MP3 files won't get you better compression. It also explains a couple situations where you want to zip files even though you won't get any decent compression - basically for grouping.
Streaming incurs overhead, but that isn't the main concern. The overhead is generally pretty small. Some audio like WMA is very fault tolerant and can withstand packet loss without any serious problems. So past that, the main concern is people continually downloading the same content. Again, like mentioned above, you'll save on bandwidth if they simply download it.
You can actually force a download of an MP3 by changing the MIME type. The normal MIME type for MP3 is "audio/mpeg" or something similar. If you change it to something like "application/x-audio-mp3" or something like that, then the browser will download it instead.
So, you might want to set up a subdomain for that and have a custom MIME type. You then avoid having to zip any files and the MP3 still downloads.
Cheers,
Ryan