This is a perfectly good and acceptable question.
If you site consists of more than one page - it's not Flash nor full Ajax (like Gmail) - you have to make sure the player stays on a frame that does not change so that your music does not stop when you click a link.
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| site content |
| |
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| invisible frame |
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This will also mean that a problem can arise with searching bots that may point directly into a frame of your site - skipping the index and thus disabling music. If that is not the case you should be fine.
You can then use a sound library SoundManager, like @VoxPelli pointed out, to control your javascript. Do notice that the site @VoxPelli mentions is a great example of a site with music! However when you click on explore the music breaks as the user is directed to a new page. The only way to overcome this is with frames.
Hope it helps!