just because you play an audio file doesn't mean you have to open a visible player.
now, if you want to play a .wav or .au file, or something similar, you don't need to install JMF or anything like that, but if you're trying to play .mp3 files, you have (as far as I know) 2 options (propably more, but only looked into these two myself):
1. the Java Media Framework, provided by Sun
2. the
JLayer - mp3 library. I've used this one since it was VERY user friendly.
you should be able to write an application that does the trick by now, if it doesn't work, don't just repeat the question, but show us the code you have so far, and explain what function of it doesn't work the way you want it to