The best way is to just link directly to the file:
<a href="direct URL">link text</a>
It is also possible to embed the file into the page. This only works if the person has quicktime installed:
<embed src="direct URL" />
If you want it to play automatically, with no input from the user, do this:
<bgsound src="direct URL" />
This only works in IE, and won't work in firefox or opera. It's also incredibly annoying, so I recommend against using it, ever.
You could also use a flash player, which works better, but I'm not going to discuss that because you usually need your own server.
The "direct URL" is a link directly to the file. It must end in:
.wav
.mp3
.wma
.mp4
.ogg
These a direct URLs (spaces are to prevent autolinking, ignore them):
http:// example.com/music.mp3
http:// thing.example.com/stuff/example.ogg
These are not:
http:// example.com/listen.html
example.com/music.mp3 (there must be http://)
http:// youtube.com/watch?v=FOq1VUPdjYk
C:documents and settingsfile.mp3
[any myspace link]
http:// example.com/listen
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