It depends what you want to do, play the file on your page or let people download it.
To play the file on your site you need to embed it. See http://www.brisray.com/web/wmmedia.htm - the page as links to more detailed tutorials. Some people can't stand audio on other people's websites, so you may want to give your visitors the choice of whether they want to listen to it. Various options for doing this can be found at http://www.brisray.com/test/jsmusic.htm
Letting people download it is a bit trickier. This is because of the way web browsers work. When browsers come across a file format they recognise, they'll either play it themselves or use a plugin. There are several ways around this. You could make a note next to the link, reminding people they can rght click on the link and use "Save Target As ..." from the pop-up menu.
Another way is to use a program to turn the file into a file of another type, such as using Winzip to turn the file into a .zip or self-extracting .exe file.
If you're going to use zip files then you may want to put another link to http://winzip.com/downwzeval.htm so people can download the program to extract it.
There are free alternatives to Winzip, which is now rather expensive for casual use, especially for making self-extracting files. Take a look at http://free-backup-software.net/free-zip-program.htm 7 Zip on the second page looks particularly interesting.
