This week's book giveaway is in the OCMJEA forum. We're giving away four copies of OCM Java EE 6 Enterprise Architect Exam Guide and have Paul Allen & Joseph Bambara on-line! See this thread for details.
As the documentation here says that "The supplied URI must conform to RFC-2396 as required by java.net.URI." and when you look at the URI class for more details it supports FILE location. So a possible approach would be to fetch the media file and store it in a temp location and then use Media class.