Couldn't find an option through the media player for what you're asking. But if you explore your BB (e.g. SD>blackberry>music) and select an mp3, it will play that song only once and stop.
If you're mp3s are somewhat organized, I guess it might work for you.
Good luck!
EDIT: Better option suggested by phenyx923 3 posts down! I love the CB community!
This is not unique to the 9800. My 9000 does the same thing. Seems that if you open the song from within the media player, it will cycle through all the songs in the "hit list". So if I browse into an album and pick a song, it will continue playing the rest of the songs in the album before stopping (unless it was the last song). If you look at the top of the banner while playing, you'll see "1 of x" where x is the number of songs.
So when you open you're media player, search for the song you want to hear, and in the menu go to "play results". Then it will be the only song played and with repeat off, it will play once and stop. Voila!
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