It's not possible using the XNA Framework. You would have to come up with another solution to stream the data and play the sound on the client.
As for saving "tons of space", how many sounds are you talking about anyway? It sounds like you're trying to solve a non-existant problem. Unless you're talking about hundreds of MB of sound files, there's no problem (and even then it's not really a problem) so just do it the regular way.
Jim Perry - Microsoft XNA MVP
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