A player in the page isn't too bad. Assuming you're using the WYSIWYG editor, you will not be able to just click and have an mp3 player. That is a little beyond the scope of the editor. You can still insert it, though. First, you'll need to pick an application to play it (Windows Media Player, quicktime, etc...). Next, you'll need to find some code to put the object into the page (example: http://hotwired.lycos.com/webmonkey/01/49/index2a_page4.html?tw=multimedia
). Finally, to insert the code in the WYSIWIG editor, you'll need to click on the "< >" picturetoolbar to toggle HTML editing mode. Then insert the code wherever you want it to appear in your page.
Hope that works for you, or at least helps!