That’s not how it works. Embedding files from other sites should be done with the proper HTML tags. For SoundCloud that’s iframe, and SoundCloud itself will show you the exact code you need on any given sound file you want to embed. Once you copy the code you just need to paste it where you want, so it’s really quite simple.
When you have the link to a file directly however you should use either the
<video> or <audio> tags. lovebug recently described how to host your video files on a Github repository and embed them in your site. I believe you can do the same thing with audio files (just remember to use the <audio> tag rather than the <video> tag).
Even if you’re using a PHP script of some kind (or coding in PHP yourself) you can still use HTML to embed things.