asp.net is running on the server. Who do you want to play audio file to
there?
Sys Admins.... They would probably love you for that :)

If you want to play it to user then you need to rephrase your question a
little...
Like "What is the best way to play audio file in browser?"
There are a lot of choices here.
Your way working and I would say keep it like this.
you might want to look into Media Streaming. But that is totally different
topic than ASP.NET and I do not have much experience in it.

Check google "Streaming Music from IIS"

George.