Create a custom module on your theme (edit your theme, click Remix Theme, then Add Module and select a custom module) - this is where your audio will go.

In another tab or window, open your audio manager (http://www.xanga.com/audio/manager.aspx) and click on the file you'd like to use. Click "preview audio" and then copy the audio HTML provided.

Go back to your custom module and input the audio HTML you were given. In the code, where it says xangaaudioembedplayer.swf, erase the "embed" so you're left with xangaaudioplayer.swf.

Save your changes and refresh the page - your song should play automatically!