HELP-Audio file doesn't work

i am using html to put an audio file into my webpage. the files is an mp3 from my music library. but when i put its name into the "href" part, nothing happens.
here is the code:
<a href="song.mp3">Play Song</a>

best thing i would do is move the audio file into wherever you have you site's files otherwise you will have to use the exact location of the file for it to play.

Also do you want them to listen in a new page or not?