Dynamically starting and stopping audio

I am trying to make a web page with multiple links to audio that I would like to start and stop when the listener clicks a link, and without having lots of players on the screen at the same time. Can anyone tell me how I can get each piece of audio to start and stop when required?

Also, the <embed> tag doesn't seem to be supported in XHTML, but seems to be the only way to get audio to appear in Internet Explorer....

I would be very grateful for any help.