bgsound is not a seperate tag. It's an attribute. It would look like this:
<body
bgsound="yourURLhere">
(Aside: The quotation marks are only necessary in XHTML. They are optional in HTML.)
However, I should warn you that the bgsound attribute is non-standard. You're better off with the <embed> tag. Try this:
<embed src="yoursound.wav" height="3" width="3" playcount="-1" loop="true" autostart="true">
Replace "yoursound.wav" with your sound file. The "height=3" crap is because on Netscape 4 and below there's trouble if the size is less than 3. Don't ask me why; it just will. Also, if you follow the <embed> approach, put it at the end of your page, right before the </body> tag. This way, the page can download well before the sound, making it easier to browse your site.
I have both loop and playcount because "playcount" only works in Internet Explorer, and "loop" only works in Netscape.
Also, Ceasar here is right: Make sure the sound is in the same directory as the sound, online
or offline!