Letting your users listen to a sound file is done exactly the same way as linking to a picture or another document. You simply create a link to your sound file and an appropriate plugin in the user's browser will take care of the playing.
<a href="sound.wav">Play sound file</a>
If you want a sound file played directly when the user comes to your page you use a <meta> tag, like this:
<meta http-equiv="refresh" content="0; url=sound.wav">
With Microsoft Internet Explorer you can use a simpler method by using the <bgsound> tag. Unfortunately Netscape 3 doesn't support either <sound> or <bgsound>, instead you have to use the <embed> tag. Here are the three different methods:
<a href="sound.wav">Play sound file</a>
<bgsound src="sound.wav">
<embed="sound.wav" autostart="true" hidden="true">