Yes, it is easy. Open Front Page, then either open an existing file, or create a new one. In design mode, click on format in the top tool bar, then select background. click on "general".
There you will see a section for background sound. Browse for the location of your sound file, and click on it. Choose if you want it to play once, or forever. Remember to check the code to ensure that the file source does not refer back to the folder on your PC, (which it will do in Front Page).
Remember, a midi file is best because it is much smaller than a wave.
Have a look at an example of mine.