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It depends where you want to play it. On the client, in File->Options->Alerts you can check Play sound, you will have a system sound, but it will not sing your song.
You can trigger a script on the EM that will play your song, but you need to be logged in the EM and have the sound system activated. Imagine how it will sound if you have 10 songs playing with a small delay(less than a second) between the 10 songs.