Hi @ananya, thanks for your followup. That is the correct code. You will want to put that code into an embed widget, where you want the audio player to appear.
See this article on the embed widget: http://help.webflow.com/site-settings/custom-code#adding-embed-code
Make sure to replace the path to the audio file in the lines:
<source src="horse.ogg" type="audio/ogg">
<source src="horse.mp3" type="audio/mpeg">
<source src="horse.wav" type="audio/wav">
If you only have a wav file, then use that. The other file formats are for browser compatibility.
Webflow does not yet have file uploads other than images, however you can upload your audio file to dropbox, then get a share link to that and use that in the source path to the audio file.
I hope this helps ! I would add that to a site, then post back here on this post your result !