zaudio plugin

I was wondering.....does the zaudio plugin only work for mp3 files you've uploaded to your files?  I have several audio files that are stored on another host.  I put the direct link on the Elgg page but the zaudio plugin will not allow it to be played in the page.  

That being the case, the file size limit for uploading files makes it very difficult to upload any audio file to one's files.  Is there a way to adjust that?  Is it recommended?