Yes, you are correct. Make sure though of any folders that your music file is located in. When you upload your page and your music, if it's in the same directory as the page with the music file in, then you are right.
For example, if the page is index.html but your music file is in a music folder, you'll want to have: music/mymusicfile.wmv
It's good to have the controller with the music because it gives your viewer the opportunity to turn it off.
Also, you have the option to have it start playing when a viewer comes to the page or have them turn it on, and/or have it loop. Just have them be either true or false (yes or no) depending on what you want.
<embed src="beethoven.mid" autostart="false" loop="false" />
"I would feel more optimistic about a bright future for man if he spent less time proving
that he can outwit Nature and more time tasting her sweetness and respecting her seniority."
E. B. White (1899 - 1985)