People often ask this in forums and message boards. "How to build an HTML site with music that plays continuously?"
Unfortunately, this isn't a simple thing. You have the following options, each with their own set of problems.
OPTION #1 - Embed an MP3 player on a plain vanilla page. Invoke it to open in a Pop-Up window from a link on your home page. The player will remain open while people explore other site pages or until they close the pop-up window or leave your site. NOTE: The user must initiate the pop-up window. If you attempt to open a pop-up automatically on page load, it will be defeated by pop-up blockers (98% of browsers).
OPTION #2 - Put your player into a frameset. NOTE: Framed sites pose many other problems as detailed below.
OPTION #3 - Build your entire site with Flash. NOTE: Flash sites are not SEO & user friendly. Also Flash isn't supported by many web devices, most notably Apple's iDevices.
OPTION #4 - Build your entire site on one very large page
Depending on content and page size, this could delay your page load quite a bit.
OPTION #5 - Forget about continuous playing music/sound. Simply embed your media player on the first page and allow people hear it once.