You will need to have your audio file ready. I find it is better to have them saved as mp3s so most players will handle them.
You will now need to upload the mp3 to internet file storage space. This can be any space - it could be your own school internet space, or it could be one of the free storage sites offered online such as -
filefreak
boomp3
and many, many more.
Once your file is uploaded you need to get the online url for the file e.g. http://www.box.net/shared/e070kfw088
Now you need to get an embed code for an audio player. Here is one you could use -

You will need to copy this carefully as I was unable to type it in for you to copy and paste - (it would have resulted in a player sitting where the code should be!)
Once your player is embedded it will look like this
There are also many sites that offer you free players, and some of them look very nice. One I have used is at podcast-player - no registration needed - just follow the instructions on the front page

by type in the url for your audio file

and they will give you the code for a player that looks like this.