Moodle is served to users using a HTTP web server like Apache. For streaming audio or video, you would need a streaming server.
It is also worth to mention that this statement is not always true:
A video stored on your Moodle site would be downloaded completely before playing started.
In most cases, depending on your webserver config, what really happens in Moodle is called progressive download.
Here is a brief summary about that:
http://www.onlinevideo.net/2011/05/streaming-vs-progressive-download-vs-adaptive-streaming/