The bgsound tag doesn't work in Netscape, only in Internet Explorer. The embed tag does work, in both Netscape and in Internet Explorer 4 and above.
You'll need a plugin for embedded sound. The old Netscape Communicator LiveAudio plugin will work in all Netscape versions up to
7.02 (it just won't work in Netscape 7.1) You can either copy npaudio.dll and npaudio.zip from the Program Files\ Netscape\ Communicator\ Program\ Plugins folder to your Program Files\ Netscape\ Netscape\ Plugins folder or try the Install link for Netscape Live Audio 1.1.15.15 on this page:
http://www.holgermetzger.de/ple.html (make sure you have Enable Software Installation checked (in Edit Preferences Advanced Software Installation)
Beatnik and Quicktime plugins also will also work for embedded midi. Embedded wav is another story (Quicktime 5 works for embedded wav ... I understand the latest quicktime player doesn't ). Check in Help, About Plugins to see what Netscape 7.02 is using for plugins.
UserAgent: Mozilla/5.0 (Windows; U; Win95; en-US; rv:1.5) Gecko/20031007