Depends on how you're using WordPress. Here is how to address both use cases:
1) If you’re using WordPress on a host that allows embedded iframes, simply follow the installation instructions.
If your WordPress host does not allow iframes, you can still embed a CD Baby player if your host installs the CD Baby Embed plugin which they can get here:
Once installed, you will need to manually create the shortcode using your player id (examples are shown in the link above).
2) If you’re using WordPress.com, we need your help!
WordPress.com blocks iframes for security reasons, but with enough support from the CD Baby community, we can be approved as a "safe plugin."
Simply request the CD Baby Music Player plugin via the WordPress.com Ideas Forum and make your voice heard: