I just tried it and it works fine.
Open the page you want the sound on
Right click the page and go to page properties.
Go to the "General" tab, down to the "background sound" field
Click "Browse"
Select the file type, "All Files" then go to the folder that the MP3 file is
in. If it's not listed then type "*.*" in the filename field, this will
list MP3 files, or type "*.mp3" (no quotes). then select the file, OK out of
all the screen(s). preview in "Preview" mode or in your browser. it should
work.
It works for me in FP 2003, XP Pro, SP2, when previewing in FP.
Otherwise just go to code view, and type within the <head> and </head> tags:
<bgsound src="x/y/yourfile.mp3"> where x and y are folder names - specific
to your web site/system.