Sure, it can be done. Just need a script to run which opens the default media player and runs whatever music you want (for example downloaded as the page downloads). But,
1. People like me with NoScript running will block that from running anyway.
2. People will ignore/block you because it's annoying and
3. As MrCool said, that's totally 2000 to 2001 retro. Ala Myspace.