There are a couple of options that you can use in order to put music on your blog or website. Firstly, if you have the server space then you might want to get your own player too, instead of using someone else's services. You can try something like the FLV players found on http://www.jeroenwijering.com or this http://www.macloo.com/examples/audio_player/ which is mostly for mp3s only.
If you realize that the server space isn't sufficient (which is bound to happen if a lot of people listen to your stuff) you might want to switch over to a service like odeo http://odeo.com/ where they'll host the files for you and you can still put it in your blogger post.
Got a question, tip or comment? Send them to email@example.com and we'll try to answer it in a blog post!