Namely wavs. I would assume that the coding would still be the same towards midi and mp3s; if not, slighty modified.
Also, I'm not trying to embed anything.
Picture as you may, you have a few media links:
(Links are fake so don't bother clicking on them... even though some of you will anyway

)
Chariots Of Fire
Please Stand Up
Dirt Off Your Shoulder
Upon clicking those links, I would like to have the music loaded and played in the background. I know it's possible.