Yep, you'll want to look up how to embed sounds using HTML, and then tack it into a Custom Menu.
You'll be looking for the <EMBED> tag most likely.
Sweet thnx
If your adding a theme song you could also use the <bgsound> tag directly on the layout.html file or on a splash.html (probably prefered so it doesn't play all the time). BG Sounds have options to allow them to loop infinitely or play once. The only problem with using BG Sound on the layout.html is that it will get reloaded every time you browse to a different portion of the site so even if you set the song to only play once it would repeat.
-- Six Demon Bag Jack Burton: Hey, what more can a guy ask for? Egg Shen: Oh, a six-demon bag! Jack Burton: Terrific, a six-demon bag. Sensational. What's in it, Egg? Egg Shen: Wind, fire, all that kind of thing!