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With the advance of high-speed network technologies, availability and popularity of streaming media contents over the Internet has grown rapidly in recent years. Because of their distinct statistical properties and user viewing patterns, traditional delivery and caching schemes for normal web objects such as HTML files or images can not be efficiently applied to streaming media such as audio and video. In this paper, we therefore propose an integrated caching scheme for streaming media with segment-based caching and hierarchically distributed proxies. Firstly, each stream is divided into segments and their caching algorithms are considered to determine how to distribute the segments into different level proxies efficiently. Secondly, by introducing two kinds of segment priorities, segment replacing algorithms are proposed to determine which stream and which segments should be replaced when the cache is full. Finally, a Web-friendly caching scheme is proposed to integrate the streaming caching with the conventional caching of normal web objects. Performance of the proposed algorithms is verified by carrying out simulations.