Hi,

1. You can use the Media player plug-in to play mp3 files directly on your site:
Using custom media player

2. There are a lot of flash players (plug-ins) which you can use, please read the following thread:
Insert MP3 Flash Player

3. I'd recommend you -- JW Media player
Then in Kentico CMS, you could use this flash player in the Flash webpart or use it in a transformation of some repeater control if you need to play more files. This player should be also capable of handling playlists.

Best regards,
Martin Danko