What you want to do in PHP is possible, providing you are desiging all your own pages. What I mean is not trying to display someone elses website on yours.
First you load all your pages using require("somepage.php"), into separate <div>'s, with their visibility inside their style set to "hidden", their positioning set to relative, their width and height all set the same and they are all listed together.
Next you create a few javascript functions to handle flow control. What I mean by this is the javascript will turn the visibility attribute of each <div> on or off depending on what function your <a> tags are attached to.
Now you <embed> your sound(or what ever other method you use) in to your main page. The javascript controls flow and the music plays on.
smilie!
Linear Mode
