Take a look at this post in which Tim Heuer explains how to download media files and store them for later playback on Windows Phone 7.
First, to make the scenario clear, say you are building a specific app for your brand’s media archives (audio and/or video). You want to enable the user to selectively (or automatically) download the media to their device. You want the user to be able to playback the downloaded media while offline later. The media in this scenario is an MP3 file, a common audio format.