As far as I can tell, there's some sort of internal association in Windows between the audio/x-mpegurl header type and .m3u extension, as whatever program is set to handle that extension is the program that opens when that header is sent. I don't see a UI anywhere that deals with that, but I just associated .m3u with a different player as a test, and requested a .php file to the browser with the mpegurl header and it opened up in that new program. There's nothing in the PHP script itself that would designate ".m3u", but even when I right click the link to that php script it wants to save it as a .m3u file. It just knows somehow. Color me baffled.

Netscape behaves differently (I just installed Navigator 4.08 to test). It prompts me for the program to open that header type with (as there's no current association), and when I try to save the link (playlist), it wasts to save as .php instead of .m3u. IE seems smarter (but less configurable) and just knows it's a playlist (m3u) from the audio/x-mpegurl header.