What Are the Options?
Let's consider options for adding sound to our application. Basically, we're somewhat limited: We can either go the HTML way by using appropriate tags, or the Flash way by embedding a short SWF file in our page and manipulating it in order to play the desired sound.
For compatibility reasons, we'd like to restrict ourselves to pure HTML, but that won't prove to be so easy because of differences between browsers. On the other hand, plenty of users routinely block Flash code (I'm one of them myself!), so going that way isn't surefire. Finally, you should also consider the format of your audio, because some users may not have the appropriate codecs or plug-ins, but this point is somewhat beyond our possibilities to fix.
We'll start by considering the HTML-based solution (and find ways of dealing with the different browsers' capabilities and requirements), and then try the Flash solution.