The software to handle sound usually comes on a CD with your sound card. If you never loaded that software, look into that CD to see what you can find. There is usually a software program there which can be used to record sound. It will allow you to speak into a microphone, for example, and record.
If you want to record full sound, you should save it in WAV format (CD quality). This format works very well for recording voices. However, WAV files can be very large, particularly if you record a whole song. A full song lasting 2.5 minutes could be 30 megabytes. Nobody would wait for that to play, and you would chew up space on your web server like crazy.
Today, there is a much better alternative to the WAV format. It is called MP3. MP3 files are "near-CD" quality and their file sizes are 1/10 - 1/12 of the original WAV format files. To create the MP3 format, you need a program. WinAmp is a very powerful one, and it has very widespread support. However, the learning curve is steeper, and it takes more "user intervention" than another program like MusicMatch Juke Box. MusicMatch will convert your files from WAV to MP3 format, and it will play MP3 format files as well.
Both MusicMatch and WinAmp will also "Rip" files from a CD. Ripping means that you transfer a music file from an Audio CD (the type you play, say, in your car or personal home stereo system) to your computer, translating it into MP3 format along the way.
Using the <embed src="MyTag.MP3"> will automatically load the player and play the music. If it is a large MP3 file, though, this will slow down the page load enormously. I recommend you use the alternative - a hyperlink to a wav file, so the visitor clicks on it ONLY if he/she wants to listen (they will expect to have to wait).
Another matter to consider when recording and posting music is that you may need ASCAP clearance, so you should check on this carefully with Kenosha before putting such music on the web. I have been told that you can put UP TO 20 seconds with no problem, but a whole song IS a problem.