I was asking for the programmatical way to retrieve audio files which are stored in remote server for which the programmer is having the web services . If got retrieved , then I think it will be possible to store in location something like 'file:///store/home/user/test.mp3'
The question is so non-specific that it is very difficult to answer. There are many ways to accomplish what you are asking, and they are all pretty-much dependent on what the server-side service looks like.
Certainly, the solution will require an HTTP request, and possibly using KSOAP or RIM JSR172 web services. I would suggest that you start here by looking at the sample code that ships with the JDE.