There are two ways to do this: 

- Using an "Audio Link". If you build your site as Dynamic HTML, this option will create a link which will cause the audio file to play when you move the mouse over the link, and stop when you move the mouse off the link. 
- Using the "Link to File" option. This is a normal link to a file which, when clicked, will either download or play the audio file, depending on the settings of the web browser. 

To create an Audio Link:

Place the object on the page that will hold the link to the MP3 file. 
Right click on the object, then click "Link". 
Select the "Audio" tab. 
Select the "Link To: Sound Effects and Music" option. 
Click the browse button next to the "Audio File" field to locate the MP3 file to link to. 
Click OK. 

To use the Link to File option:

Place the object on the page that will hold the link to the MP3 file. 
Right click on the object, then click "Link". 
Select the "Internet" tab. 
Select the "Link to: File" option. 
Click the browse button next to the "File Name" field. 
Select "Audio Files" in the "Files of type" drop-down list, then browse to find the file to link to. 
Click OK.