Don't know about (1), but with (2), in most browsers if you just put in a link (either direct or ref'd) to the sound file and it's a type that the user's computer knows how to play, it'll play it in a new window/tab.

For example... - mp3 is safest. If you want a link that'll play the tune without leaving the current webpage window, that would call for javascript, at the very least, I think. Or MySpace smile.
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If it's brokenless, don't suffix it...