You can use one of three ways:
<embed src="URL_TO_SOUND_FILE.mp3" loop="infinite">
<object data="URL_TO_SOUND_FILE.mp3" type="MIME-type"
width="[b]number of pixels wide[/b]"
height="[b]number of pixels tall[/b]"></object>
I haven't done much work with the object tag so you might need to do a little fanagalling to get the code above to work. The link below is a reference for the object tag:
MIME-type: — This tells a web browser what kind of file it is downloading and what application it should open the file with. An MP3 file will be something like audio/mp3. You'll have to look up mime-types on a search engine just to be sure.
Where to put the tags:
The <embed> tag can be placed between the <head> and </head> tags. The <object> tag should be placed in between the <body> and </body> tags, in the place on the page where you want a little box to appear that contains basic controls for a media player.
The last way: (and probably the easiest)