no that on won't work.
You need code for a specific player class, such as windows media player or real player etc.
<OBJECT
classid='CLSID:22d6f312-b0f6-11d0-94ab-0080c74c7e95'
codebase='http://activex.microsoft.com/activex/controls/mplayer/en/nsmp2inf.cab#Version=5,1,52,701' type='application/x-oleobject' width="320" height="255"
standby='Loading Microsoft Windows Media Player components...' id='mediaPlayer'>
<param name='fileName' value="http://mysite.com/sound.mp3">
<param name='animationatStart' value='true'>
<param name='transparentatStart' value='true'>
<param name='autoStart' value="true">
<param name='showControls' value="true">
<param name='loop' value="true">
<EMBED
src="http://mysite.com/sound.mp3" width="320" height="255" autostart="true" loop="true" type='application/x-mplayer2'
pluginspage='http://microsoft.com/windows/mediaplayer/en/download/'
id='mediaPlayer' displaysize='4' autosize='-1'
bgcolor='darkblue' showcontrols="true" showtracker='-1'
showdisplay='0' showstatusbar='-1' videoborder3d='-1' designtimesp='5311'>
</EMBED>
</OBJECT>
try the code above. Thats what I use on my sites for mp3s and video content. i can explain more over at n2kdesign if your interested in why you have both object and embed tags.