You need to give us a specific example, either a link to a place on your blog this is happening or the exact code you’re putting in. Like, there shouldn’t be any dots in it but there should be a space, and we can’t see if that’s what you’re doing unless you show us specifics. There could be any number of things going wrong.
You need to break the link on your blog; when you put it in using the Visual editor, the MP3 link itself turns blue and is active, right? You need to break that by putting your cursor on the link and using the “unlink” icon at the top of the post box. Then hit Publish. Does that help?