You can add the music as a link, which is probably what you want:
The music can be in a variety of formats, including mid (midi), wav, MP3, ram, ra, aiff, and so on), and it is solely up to the viewer whether they listen to it or not, as they browse your site. You can provide a simple text link to the file or create a coordinating image to take them there.
Example Text Link:
<A HREF="http://www.yourdomain.com/beautifulday.wav">
Listen to Music
</A>
Which would look like:
Listen to Music
Example Graphic Link::
<A HREF="http://www.yourdomain.com/floating.wav">
<img src="http://www.visionsofadonai.com/musicbutton.jpg" border=0>
</A>
This would ultimately look like this:
<img src="http://www.visionsofadonai.com/musicbutton.jpg" border=0 >
The drawback is you can't stop the music.
And how to put it in a playlist I have no idea. For that you need flash and flash is getting really popular with playing music. What I would do is to search how to make a mpeg playlist with flash.
And mushroomz is right.
For example with Microsoft Frontpage when you add layers, they look different in IE and Avant Browser then in Firefox and Netscape.
So you should pay attention to those things.