Open the functions.php in your theme directory. For example, if your theme is tigra, then open the functions.php in <wordpress-path>/wp-content/themes/tiga.[…]
In this guide, I will cover how to set up a Content Management Site powered by Joomla 1.5.x. This document is by no mean complete, but the section that shows one how to embed a flash MP3 player as a custom module should be very helpful to many.