Adding an MP3 sound file to my website

I’m new to this forum and I’m not sure how this works so here it goes. I recently purchased Front Page 2002 and I’m creating a website. I want to add an mp3 sound file in my site, but when I right click to page properties and hit browse under the General tab, MPEG is not listed as one of the options under the ‘files of type’ field. Do I need to download a plug in or an upgrade?

I appreciate any help!