If you want to get around this you need to download one of the terminal apps like Terminal Emulator in the market. Once Downloaded start it up and type:
Now list the files
Now you will see a file named downloadfile.mpga which is your mp3 file.
Now lets copy it to the cd card:
cat downloadfile.mpga >/sdcard/music/mysong.mp3
Now thats all you gotta do, if you download multiple mp3's they will be named like downloadfile-1.mpga, downloadfile-2.mpga.. etc
(edit) Ha well found that their is a playmp3 command on the g1 and I simply issued:
playmp3 /cache/downloadfile.mpga and it plays for 20-30 secs from the command line