Normally, with XHTML, you could use the <object> tag to insert/manipulate multimedia objects into your XHTML pages. It is part of XHTML Mobile Profile.
Unfortunately this XHTML tag is only supported on the Nokia 6220. So, embedding video/audio is not possible. Refer to the "Nokia GSM WAP Phone WML and XHTML Elements" document for more information on supported XHTML tags.
What you can do is...
Use the <a> tab to link to the audio file. Then use the browser to download the file. For example, with the Nokia 3650, when this line is used:
<a href="audio.mid"> Link </a>
A user clicking on the link would automatically start-up the phone's audio player and the user would then have the option to play or save the music.
For information about what audio types are supported on each Nokia phone model, please refer to the "Nokia GSM WAP Phone MIME Types" document at www.Forum.Nokia.com under "Browsing/WAP".