Linking to a media file and having a background sound are two different
things.
If you want the background sound you set that on and link to the sound file
on the options dialog for the web page.

Thanks David (you helped me a lot 2 yrs ago to get started - so here I am
again)
I think what I need is "linking to a media file".
While viewing a certain page, I want to give the viewer the option to click
on a icon and play just that one song at that moment. I don't want them to
be looking at a blank page while the song is playing. I would like to stay
on the original page. Possible ?

Linking to a media file is simply putting the path of the media file in the
url of the link. How that media file then loads and runs is "specific" to
the client browser. What you see yourself is not what all clients see. In
your case it would appear you've got your browser set up to run media files
in the browser rather then in your default media player. The majority of
client browsers will be set to run media files in the clients default media
player. So some visitors may click the link and have Windows Media Player
pop up while others may have Real Player or QuickTime pop up. So you've
already done all you can do and you've done it correctly.