dirt simple, on a thread:
myMP3 = [NSData dataWithContentsOfURL:[NSURL URLWithString:@"http://..."]];
slightly less simple, but with more options:
[NSURLConnection connectionWithRequest:[NSURLRequest requestWithURL:[NSURL URLWithString:@"http://..."]] delegate:self];
Or just play it directly:
[[[AVAudioPlayer alloc] initWithContentsOfURL:[NSURL URLWithString:@"http://..."] error:nil] play];
Edit: the above snippet would leak. You should store the created AVAudioPlayer instance in a member and release it when the audio finishes playing or you are otherwise done with it. I do not know off hand if releasing a playing AVAudioPlayer stops the audio.