This has come up before.
The simplest solution is to make your site with a frameset and put the sound file in the frameset file so that when people move from one frame to another, the frameset does not change. Or similarly have a main page with the sound and people move between iFrames.
The alternative is, I think, PHP which is beyond my capabilities.
Code downloaded to my PC will be deleted in due course.
WIN7; IE9, Firefox, Opera, Chrome and Safari for Windows; screen resolution usually 1366*768.
Also IE6 on W98 with 800*600 and IE8 on Vista 1440*900.