I folks,
I have used something like:
//
// Set TextConversion property at TUniLabel component to txtHTML
//
lbURL.TextConversion := txtHTML
lbURL.Caption := '<object type="application/x-shockwave-flash" data="./mp3player.swf" width="200" height="20">' +
'<param name="movie" value="./mp3player.swf" />' +
'<param name="FlashVars" value="mp3=./temp/music.mp3&showslider=1&width=200&height=20&autoplay=0&showinfo=0" />' +
'</object>';
As you can see I just used a block of code inside a TUniLabel Component.
The player I use is found in http://flash-mp3-player.net/medias/