Setting up an audio glossary

What is the best way to include audio?

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I am designing a small website offering medical information, including a glossary. Since a lot of the medical terms are long and complicated, I thought it would be good to include audio to aid pronunciation.

A few questions:
1. What is the best format for the audio? Each file will only be 3-4 secs or so, so WAV is an option. Any other format that is well supported and allows smaller files?

2. Can I make the files be played in the browser without opening another app? If the clicking a link is going to automatically open media player on most users systems, I will just give up the idea now.

3. In your view, would it be better to preload the sounds? The glossary has 80 or so entries, so I would prefer avoid this to conserve bandwidth. On the other hand, on slow connections it might be too unresponsive if the sounds are not preloaded.

Just found this great forum. Thanks in advance for your help.