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Hi,
The download link can only be enabled if you want to. But the link to the media file will still be visible to someone that checks the page source. The music player is based on the standard HTML audio tag, so the link to the media file cannot be hidden in the source code. If you want to prevent users to download your music, you can use for the preview version a sample of your media file that only has few seconds preview of your song.
Let me know if something is not clear or you have more questions!