Choose a topic to which you want to add your audio file and from the Add a resource… list, choose Compose a web page.

I've got an audio file all about the history of rockets that I'd like to include. Firstly, I'm going to add a short piece of introductory text "Click here to listen to audio"

Then I'm going to turn that text into a link, by firstly selecting the text and then clicking on the Insert Web Link button.

See Time for Action Embed a Video into a Moodle Web Page for details on how to use the Insert Link dialog. I'm going to click on the Browse button to upload my audio file and then select it. Remember to select New window as the target. When you are done click on the OK button.

Scroll down to the bottom of the Editing Resource page and press the Save and return to course button.

Click on the link to the new Moodle web page from your course front page. Moodle will have embedded an audio player into your web page: