The most basic way to add a sound to a page is to do so in the form of a link. This will be downloaded and play in a helper application (see here for more) which runs separately to the browser window
<a href="test.wav" target="_blank"> Click here for example </a>
And that's it !!!
Note we've set the target attribute (target="_blank"). That's because some browser will open the sound file and jump from your current page. This creates a new page (for more see frames)