To take an mp3 from your collection and put it on myspace, you have to have a music profile, then upload it.
Or if you have webspace and no bandwidth worries, upload the mp3 to your site and use
this li'l gadget on the links.
EDIT: Said gadget is a super-short javascript that fetches a lightweight Flash player. It will not work on myspace because they (understandably) do not allow javascript.
But it is a supercool toy for anyone designing a band or promotion site, or has a JS-enabled blog and wants to share music.