Ma classe Sound.java:

import java.applet.*;


public class Sound {

        public static final Sound sound1 = new Sound("https://dl-web.dropbox.com/get/Halocube/Heart%20of%20Courage.wav?w=AAC9hdZykOMXLdPphitnFjVuKRj7ue6azrIY0ut-yTn1jw");

        private AudioClip ac;

        public Sound(String file){
                try{
                        ac = Applet.newAudioClip(Sound.class.getResource(file));
                }catch(Exception e){e.printStackTrace();}

        }

        public void play(){
                try{
                        new Thread(){
                                public void run(){
                                        ac.play();
                                }
                        }.start();
                }catch(Exception e){e.printStackTrace();}
        }
}


Ma classe GuiMainMenu.java:

public class Main{


        public Main(){
                Sound.sound1.play();
        }

        public void main(String[] args) {
                Main main = new Main();
        }


}