This page demonstrates an audio file loading automatically.  An (optional) small console is placed on the screen for control.  The code is as follows:  

This code works with Internet Explorer 5.5 and Netscape Communicator 4.6 (after a plug-in was loaded -- in my case, Quicktime).

One can also link to an audio file to give the user control over whether to download the file and hear the sound.  For streaming audio, one can either link to a Real Player metafile which has a .ram suffix or reference this metafile in an <embed> tag.  The metafile is a simple 1 line text file that references the actual audio file, which has a .ra suffix.  

To play streaming audio, the hosting server needs to have special software (available from www.real.com for about $2000) to play it.  Another possible alternative would be to link to the Real Player metafile on a site which already streams.  The metafile and the actual audio file remain on the third site.  Such links are probably actively discouraged, prohibited, or disabled by steaming sites.  For example, for a Kennedy Center site, I tried to link to the metafile or link to the actual .rm file to see if one can download it.  In both cases the server said the file could not be found -- of course, this could have been my error.

If one wants to have the music continue when moving do a new page, one can uses frames with the music playing in the frame that doesn't change. In the following example, the frame that changes occupies 100% of the space.  However, if one wanted to provide the user with a way of stopping the music and restarting it, one would make the nonchanging frame occupy enough space to fit a console.