Cool, Huh? And the great thing is, it's a piece of cake to implement into your profile!
First things first, you need to download the player and playlist file (click here ~9kb)
The file is in .zip format, which requires WinZip to extract!

Once you've downloaded and extracted the file, you will have two files, player.swf and playlist.xml. Open up playlist.xml in notepad, or whatever text editor you use. Edit the lines that appear like this:

<song path="Song Link Here.mp3" title="Artist - Track" />

By putting the EXACT URL to your mp3 file in the "path" attribute, and then the Artist and Track name in the "title" attribute. NOTE: You cannot use the & symbol in the path or title, you should replace it with &amp; or it will NOT work.

Of course if you have more songs than there are lines in the xml file, you can add as many more as you like!

NOTE: The songs MUST be valid CBR (Constant BitRate) MP3s. VBR MP3s, WMA, ASX/ASF etc... files WILL NOT WORK

Now upload your completed playlist.xml file and player.swf to your webhost of choice.

The URL to your files should look something like this:
http://www.YourWebHost.com/player.swf
http://www.YourWebHost.com/playlist.xml

Change these values to your specific requirements.

src - Set this to the EXACT URL of your player.swf file.
playList - Set this to the EXACT URL of your playlist.xml file.
ShowPlaylist - This controls whether the playlist is visible upon startup. 1 for yes, 0 for no.
ShowEQ - This controls whether the equalizer is visible on startup. 1 for yes, 0 for no.
firstTrack - Sets which track should be played initially. Setting 0 will turn autostart off.
initVol - Sets the initial volume of the player. 0 (mute) to 100 (maximum)

And that's that! You could even extend this further by putting the player in a DIV container, and absolutely positioning it anywhere on your page!