Here is a page where we test various ways to embed .wma files into a web page. If you're interested in a different audio format, try one of the pages on the left.

First off, we can just put in a bare link. So here's the link to the famous Summertime Blues.

<object> Tag Set

Then, we'll play Summertime Blues, but using an unadorned <object> tag.
Summertime Blues
This plain object works (except IE6), but but needs the attribute,
<param name="autostart" value="false" />, so it will not autoplay.
Also, it seems, that the alignment is rather borked unless we put some height and width to the object.
But it doesn't work in IE6. Not even when one adds a "src" parameter.

<embed> Tag Set

Ok, now we'll try the <embed> element.

Summertime Blues
So, <embed>, pretty much unadorned save for the autostart="false" requirement works in IE6, whereas <object> does not. Also, html5 will support <embed>, which is to say, it will become un-depricated.

New HTML5 <audio> Tag Set

Ok, now we'll try the <audio> element.

I had to add the attribute controls="controls" to get it to show up, but still didn't play.

It seems that no browser will play .wma files with the <audio> element. That's not so bad, no rational person outside the Micro$oft empire would want to use .wma files.

Summary

Here's the dope:

Opera
<object>Does work
<embed>Does work
<audio>Visible control, but doesn't work.
IE6
<object>Does work
<embed>Does work
<audio>Does not work--no visible control
IE8
<object>Does work
<embed>Does work
<audio>Does not work--no visible control
Chrome
<object>Does work
<embed>Does work
<audio>Visible control, but doesn't work
FireFox
<object>Does work
<embed>Does work
<audio>Visible control, but doesn't work
Safari
<object>Does work
<embed>Does work
<audio>Visible control, but doesn't work

Interesting, <object> and <embed> works for everyone, even IE6 and IE8. The new <audio> tag doesn't play .wma files in any browser.