you just have to type the filename in the song (or album) form, and then in Music Collection global Options, just set the "songs server" to point to your site.

or you can simply place the WHOLE path (URL) to the file into the song's field for the file name, like this:

www.externalsite.com/yoursong.mp3

I did the second option

When i do that the person can play the audio but he can't download. It opens up the audio in another browser.

this is the download option for external files. it's a direct link to the file (it's the only way). if the browser is opening the file, that's only because of browser preferences. you can simply hit "file -> save" to actually save the file.
this is normal behavior.

is there a way to make a seperate link for the download file and "play" button.

Because I found out the exact url to type to download the file from the external server but the problem is that you can't "play" that file you can only download it.

what you mean you can't play it? you can play it with the play button...!