How to upload and play music file directly to ATMega328 arduino nano
The website below will give you the full information on how to do it. You will need a speaker connected to a PWM pin (I think that pin 3 on the Nano should be one of these kind of pins).

You can download the extension for the IDE to play your music and a program, on which you will convert the .mp3 files to a numeric format, which you will then paste in your program.

http://highlowtech.org/?p=1963