Help please!

Right, does anyone know how you add that music thing to your blog? You know when you go on someone's blog and they have that little like play button thing and it plays music?:L Well you know what I mean. Does anyone know how you get it on your blog? I have been fiddling around for ages trying to work out how to do it. But I failed ICT. Anyone know how to? Cheeers ma dears.