Can you begin playing a video before it's fully downloaded?

Subject pretty much asks it all - I'm downloading an episode of Lost and it's taking quite a while (looks like it's going to be around 200Mb+).
Just thought that I should be able to begin playing it while it's continuing to download but all I get is a gray square with no sound. Do I have to fully download it prior to beginning to play it? This is my first downloaded video or music file in iTunes.
Thanks for any help!
iMac - 17" - 1.83GHz Intel Core Duo - 1Gb DDR2 SDRAM   Mac OS X (10.4.6)  

Thanks!
I changed some settings in QuickTime:
- enabled Instant On
- decreased the "play" to 3 notches up from "instantly"
- changed the streaming speed to 1Mb/s Cable from "automatic"
This seems to have sped things up quite a bit for downloading trailers and I bet it will solve this problem as well. Thanks again!

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