Chad-
There are a number of ways to present audio files (I'm assuming MP3-encoded files).  The easiest thing to do is to present a way for the user to either open the file (letting the user's system determine the application based on the registered MIME type) or force a download even if the MIME type is registered.  For DNN the easy choice is therefore the DOCUMENTS module. 

Add DOCUMENTS to the page, go into module SETTINGS and select which fields you want to show (title, description, size, etc).  Make sure to enable "show title link" which will make the document TITLE a link that will open the file.  Also make sure the "DOWNLOAD" column is selected for display.  This presents a second link for each file that forces a download of the file even if the file has a registered MIME type.

Also worth noting...
The DOCUMENTS module also makes for a great upgrade to the standard LINKS module since, with DOCUMENTS, you can add links as well as files and also have the additional control over columns and options not offered in LINKS.

-mamlin

Great answer, I appreciate the level of consideration you put in your reply.

I think I'll try your suggestions however I would like to play the audios on our site, but appreciate the simplicity and performance of your solution which on my machine would open either WMP or iTunes and viola.

Thanks, Chad