James
There is a bit of a learning curve with Moodle I suppose. Its all things to all people so there is no avoiding some complexity and a myriad of settings. My advice is to not be shy about posting on the forums, but always do a Google search first to see if you can get it yourself.
If the multimedia plugins filter is enabled then you should be set up to play audio. The default setting is to provide players for mp3 audio, so I doubt that is a problem. But nevertheless you can check the settings for the multimedia plugins filter at site administrations -> appearance -> media embedding
How are you embedding/uploading your file? And where are you putting it? Also what does it look like after you display the page where you want the player? Do you see anything at all there? If you can you tell us some more about your moodle installation and what you are doing, it should help us help solve the problem.
Justin