Ultimately, any file which is simply embedded has to be downloaded to the user's computer in order to be played (usually it is downloaded to a temporary location then removed, but a savvy user will be able to capture the download and save it.
If you want any real protection, you'll have to use a streaming server like Helix Streaming Server. With these, the file is not downloaded by default and the user's only real capture option is an audio cable from LineOut to LineIn. Most don't have access to this.