One way to provide sound with a web page is to provide a link for the user to click on to access the sound clip. The browser may need a plugin in order to play the clip. For example, try this saxophone clip.
Internet Explorer also allows you to play a sound clip automatically in the background. This is done using a tag containing something such as BGSOUND SRC="sax.wav", for example. This web page contains just such a tag. (Use View Source in your browser to see the exact tag used.) It plays the sound once. You can add LOOP=2 to play the clip twice, LOOP=3 to play it three times, LOOP=-1 to repeat it without stop.
Of course, be sure that you have obtained permission to use any sound clip that you place on your web page.