Box.net has it so you have to have an 'upgraded' account to be able to 'direct link' to files. That is what URL you need as that page your referenced is just the page that has the download link and not the actual file link. The player needs the 'direct link' to the file regardless of what file it is. In your example, either upgrade your box.net account, find a host that allows direct linking for free, upgrade your space on wp.com (like I did) and then reference the actual file name such as:
[audio=http://mylink.com/files/greatsong.mp3]
Trent