You're going to need Javascripting to help you. You need to create what they call a Jump Menu (or jump select box)
And read up on iframes
YOu can't designate the "source" in embed unless you are running a serverside script (like php or asp or cgi ) so the best you can do in HTML is to create several pages containing the embed code for your particular music file
For example, On your main page that has the "menu" you'd have something like this:
** Yahoo! is cutting off from each option list.
*** Yahoo! is also cutting off the javascript.
Click on this link to get the full source
http://www.geocities.com/arus.geo/jump.txt
item1.html - will contain the embed source of your first wma file
item2.html - your embed source for your 2nd wma file
so on so forth.
Just edit your iframe code to the size you need or want. and you can have borders if you like as well.