Provided the wave file is less than a second this may provide a file size of about 10k. You can download a free demo of programs like Cool Edit Pro or Cakewalk to record the wave file. After recording the file, you need to change the sampling rate to about 11khz and use an 8 bit resolution in mono. This greatly reduces the file size but compromises a bit on quality. Songs can alternatively be saved in the real audio format as an '.ra' file as mentioned above.
Most applets use the .au format to put sound files into the applets.
There is often a chance to customize sounds in the applet's parameter tags. It is important though in many applets to use a sampling rate of 8k when saving the .au file. Otherwise the sound will not work in the applet. The new swing jar java is opening up new sample rates. I will focus on making MIDI files for your web site next.