It works OK here.
Which version are you using?
Here is the HTML code it created.
<div>
<object codebase="http://activex.microsoft.com/activex/ controls/mplayer/en/nsmp2inf.cab#Version=6,0,02,902" type="application/x-oleobject" height="200" standby="Loading Microsoft Windows Media Player components..." width="240" classid="CLSID:22D6F312-B0F6-11D0-94AB-0080C74C7E95">
<param name="FileName" value="/forum_uploads/mp3.mp3" /><param name="autoStart" value="1" /><param name="showControls" value="1" /><embed name="MediaPlayer1" src="http://cutesoft.net/forum_uploads/mp3.mp3" autostart="1" showcontrols="1" width="240" height="200" type="application/x-mplayer2" pluginspage="http://www.microsoft.com/Windows/MediaPlayer" ></embed>
</object></div>
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