You need Macromedia Flash for that. But you do not HAVE to use the .swf format. You can use MP3. Use iTunes to convert your song into a medium to low bit MP3 file.
Remember to keep the volume low so as not to irritate visitors to your site. Nothing more annoying to me than a site that plays music and scares me out of my skin.
Try using this code in your page:
<*embed hidden="true" src="MySongFile.mp3" type="audio/mpeg" autostart="true"></embed>
Note: Remove the asterisk "*" before using. Needed that to display the code on this post.