Using the Audio module, you can insert one or more audio files from the Media Library or a single audio file from an external source, plus choose some playback options.
Using audio files from the Media Library
When you choose the Media Library option in the Audio module, click the link to choose one or more audio files to play. You can upload new files at that time also. After you add the audio files, some playback options appear.
If you choose a single audio file, a simple audio player appears in the rendered output:
If you choose more than one audio file, additional options are displayed, and a playlist appears in the rendered output:
Using audio files from an external source
You can use the Audio module to play a single audio file from an external source.
To get an external audio clip to work, you need a direct URL to the audio file. Once you supply the URL, some additional options appear, and the rendered output shows a simple audio player:
Other ways to embed audio
If you are trying to link to a sound file on a website where you cannot get a URL for one or more sound files, the site may have code that you can copy and paste to embed the file with a player. For example, SoundCloud has a help page that shows how to embed files from their site into WordPress. In this case, paste the code for the embedded audio into an HTML module.
To create a playlist for several audio files from an external source, you need to write your own custom code or use a playlist plugin.