what is the correct method to play a sound on a IPhone mobile?

I have tried the embed and object but both do not work on the IPhone.

can anyone suggest what other methods i can have a sound play when the page loads. (auto play, not click here to play sound;-)

Didn't I already reply to you? The mobile version of safari can only support an external media player, so they only way to play the file is by clicking (or "tapping") and loading it into the default media player. Now, if you want to come up with some add-on for jailbroken phones, by all means do. I'd love to have it. But until then, this is the only code that works:
<!-- Didn't you get this the first time? -->
<embed src="../notify.wav" autostart="true" width="0" height="0" />
<noembed>
You're on iPhone! Click here to play the sound:
<A HREF="../notify.wav">NOTIFY!</A>
</noembed>

Apple has disabeled the "autoplay" feature on the iPhone, because of potential huge data plan cost for the user when html pages would automatically download and play media that might be on remote servers.
I came across this when trying to build a lockscreen theme that automatically played a video in a windows. All that was possible is a QuickTime placeholder that you have to touch and then you only see the video in fullscreen.
Sadly there is even today no solution to this problem.