<p>Is it possible to embed an audio object (mp3, wma, whatever) in a web-enabled InfoPath form ?  </p>

<p>If it is, how do you do it ?</p>

Edit:  My apologies, I missed that the question was about Web forms - for which the below does not work.  Must learn to read the question fully!
Go to menu View
Click on Design Tasks
Select Controls in the 'Design Tasks' Task pane
Click on the 'add or remove custom controls' button to install your custom
control
Click on the Add button and select ActiveX Control
Select the Windows Media Player control
Select the necessary properties for databinding and finish the wizard.
After you have added the control, you can drag and drop the control on your screen.
Right-Click on the control and select the 'Windows Media Player properties'
Fill in the URL to automatically embed the file to play.