Since you only request IE, I assume your application will be bound to Windows machines, right? If so, you should use Windows Media Player because it comes with windows and all the Windows users that it has installed (is this still true for Vista and 7?).
But you should not indicate the player at all. To implement the system player / plugin for the provided file, you can use the embed tag:
<embed src="yippee.wav" width="140" height="60">
Embedding is still not a standard w3c tag, but works with IE 3. With the new HTML 5 standard, insertion should become the standard tag for both "audio" and "video."
Tim Büthe
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