If you simply want to embed a song into a webpage you need the following code - it will play one file and adds a little player to the webpage too:
Code:
<embed src="http://www.websiteurl.com/song to play.mp3" width="140" height="40" loop="True"> </embed>
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If you want to have a selection of music on your site I can highly recommend
Andromeda! Very reasonably priced for a single private licence

Be careful about copywrite etc though if it's not your music.
Otherwise you would need to just upload the songs and link to them via your webpage