Oh, like this:

CLICK HERE TO DOWNLOAD TEH SONG!?

You just have to upload the song somewhere that will hold it and allow direct linking, if it's not already uploaded, and then just find the link that it would be downloaded from (it will end in a file extension, such as .mp3 or .wav), and then post it in URL tags.

Here's how I did the one above (without the asterics though):

[*url=http://www.angen.net/~sailormoon/sounds/O_makeup.mp2]CLICK HERE TO DOWNLOAD TEH SONG![/url*]

Hope that helps!