A good beginner's guide might help you get started. The standard sound file formats are .au, .wav. Browse for your audio file. If you're looking for music, the MIDI file format, .mid, is most common. The folks at Real are making enough industry alliances that their formats, .ram and .ra, will become much more common.
Background sounds on Web pages are either blessedly neglected or scandalously underused.
Personally, I wouldn't do it without telling you first. This interactive educational web site covers the basic concepts of what sound is, the specifics of how humans perceive it, the physics of sound, and a lab where you experiment with sounds. When your browser requests a web page from a server, the .htm file and the image files are downloaded into a cache on your PC or laptop and displayed from there. Because .htm files are often smaller than image files, you sometimes see the page first and then the images slowly come in. The larger the file, the longer it takes.