First, go to "my profile" >

Select "HTML mode " >

You get to a page, with a frame full of characters, that is "html".

It's a language used to code pages on websites, and used on howrse to make the profile pages.

Like this >

Scroll down the frame, to add the music code at the bottom of the page.
(I do that, because it's easier to find it afterward if you have to make a change... but you can put it anywhere in the page)

Like this >

Your music file must be hosted on the internet if you want to hear it on your profile page.
When the music file is stocked on a website, it has an address, we call that an "url".

Here is an url (music_adress) for a song of Cat Power :
http://downloads.betterpropaganda.com/music/Cat_Power-The_Greatest_128.mp3

(You can test the music file by copying the url and pasting it in the address compartment on top of your browser)

The music files formats which can be used are :
mp3, mid, rbs
(wav would work also, but it's heavier, so very long to be downloaded on the profile when loaded by visitors)

Copy and paste this code (in which you add the music_address) at the bottom of the page, at the end of your html code
and click on "Edit my profile"

with my example it does like this :
<bgsound balance="0" src="http://downloads.betterpropaganda.com/music/Cat_Power-The_Greatest_128.mp3" loop="100">