It seems that u don't know much about protocol.
OK, let's start with the most popular today: http.
1st: http is a protocol, u just need to know as it, no more necessary.
2nd: to insert a audio (or video) to ur post, u must host it first or you must have the direct url (hotlink) to that file (from other sites).
(To host a file, take time to search for free host or you can buy one, then, upload ur file to it, take the url)
3rd: in ur post, put ur url (u got from step 2) in to tags. for exp, I got the hotlink :
http://www.google.com/audio.mp3
Then when I put it into tags, it will be : [mp3]http://www.google.com/audio.mp3[/mp3]
4th: for other format, use the correct tags, wma [wma] [ /wma] ...etc, apply method is the same.
Hope it help.
PS: I found no company give out free hosting with mms or rtsp protocol, it's better for u to use http, easier at all.