I found the solution which is depend on placing .htaccess file in the regarded audio folder. The syntax of that .htaccess should be as follows:
RewriteEngine on
RewriteCond %{HTTP_REFERER} !^http://(www\.)?mycake\.com [NC]
RewriteCond %{HTTP_REFERER} !^http://(www\.)?mycake\.com.*$ [NC]
RewriteRule \.(gif|jpg|mp3)$ - [R=401]
ErrorDocument 401 /e401.html
When someone try to access any mp3 file via, for example, http://mycake.com/audio/folderX/fileY.mp3. A 401 error will be generated.
However, I noticed that FDM is able to access and download this file. The redirect works only for web browsers.