You can enter full URLs starting with http:// into the sermons field and it should work.
However be aware that by default Flash only plays files from the same server. This is a security feature of Flash and hasn't to do anything with SermonSpeaker. Read about Flash cross-server restrictions and what you need to do to make it work.
Also all file operations will not work as PHP has no direct access to the files anymore if they're on an external server.
