There really isn't an easy way. The most common ways are:
1) Build your site with frames and put the player in a frame page. It's a terrible solution that you should not even consider, but it is one option
2) Build your entire site with flash. Also terrible.
3) Put a player in a popup window. This is the best option IMO.
But are any of these worth it for a feature that virtually none of your visitors really care about? I don't think so. Whatever you do, make sure the site loads with the music off and give the user the option to turn on. Nothing chases visitors away faster than music or any audio that they don't specifically request.
Have you tried the simple (albeit depreciated) <embed> tag? Something like:
<embed src="bgsound.mp3" autostart="true" loop="true" hidden="true">
Thought I wouldn't recommend it...
it's one of the first "no-nos" in web design...
Never force your visitors to listen to
audio they didn't ask for.
>Thought I wouldn't recommend it...
It also would not work. The OP wants the music to play continuosly as the visitor moves from page to page.
Ultimately, it's just a horrible idea in theory, no matter how it's put into practice...
To the original poster - trust us... just say no!