I'll be adding an option to locally playback an audio file through HLDJ (using the computers sound drivers). This means you will be able to use HLDJ as a very basic audio player. It's been tested with wav files (and may work with other file types depending on the codecs you have installed; if you want to test with other file types, set Display Mode to "all files & folders" in the game's advanced options).
Stay tuned