You probably already have this set up but here's how if you don't.
Your computer will probably have a sound card in it so just plug your speakers into the appropriate place in the back(usually back) of the computer and then you can play music, sound effects etc.. There are .wav files that are commonly about a minute long, midi files that are usually some song without the words and my favorite - .mp3 files.
You can get .mp3 files allover the internet, but the best place is < www.napster.com >. You download the client and then you share .mp3 files with the other users.