I just read in my CS book :
At the source computer, the message or the file/document to be sent to another computer is firstly divided into very small parts called Packets.
Each packet is given a number serialwise e.g., 1,2,3...
All these packets are then sent to the address of the destination computer.
The destination computer receives the packets in random manner ( It may even receive packet 10 before packet 1 arrives). If a packet is garbled or lost, it is demanded again.
If this is the case (especially 4th one) then how can I play a song while it's being downloaded. According to 4th statement if packets come in random order then the song/movie shouldn't start before it's completely downloaded.