It's not possible to use Frontpage to generate what you said, but based on your last comment maybe you just described it incorrectly.
To embed a player in the page is pretty simple, but the file still downloads to the user's computer (to the temp folder) and you had said you didn't even want that (which is, for obvious reasons a we bit tricky).
If you just wanted it embeded instead of lauching a player you can use this code:
<object id="MediaPlayer1" width=180 height=200
standby="Loading Microsoft® Windows® Media Player components..."
<param name="FileName" value="Server/file">
<param name="ShowStatusBar" value="True">
<param name="DefaultFrame" value="mainFrame">
pluginspage = "http://www.microsoft.com/Windows/MediaPlayer/"
Change the filename value to a relative path to the file.