The easiest way is to use a EMBED tag. You can find details of this at http://www.webreference.com/js/column20/ and http://www.apple.com/quicktime/authoring/embed.html
As with any file you link to on your pages make sure the path and casing in the link match that of the file you're using.
You can always give your visitors the choice of whether to play the audio file or not. Take a look at http://brisray.com/test/jsmusic.htm for the controls to do this. Just copy and paste the bit of code for whatever method you like from the source and change the link to the audio file.
If you want to change the look of the controls to match your site, take a look at http://brisray.com/web/wforms1.htm
As usual, you can make things like this as sophisticated as you like, but the basic EMBED is not much different from linking to any other file.