Try this <a href="/sounds/zing.wav">it's my zing!</a>
Edit - oops, misread your question. You need some javascript OnClick command in the <a href> probably calling a function and passing the link and/or sound. the script code would trigger the sound then change the current location.
Or, each linked-to page could have sound code in the on load event.
Hopefully someone who's done this will step in and give you some code. Or try googling?