Your question is a curious one, because I think that you're asking about something based on your not truly understanding how the Internet works, so let me start there...
At its most fundamental, the Web is built upon a very simple communication between two computers that looks like this:
Computer 1: I WANT "file x"
Computer 2: HERE IS "file x"
or, for some queries:
Computer 2: ERROR: DON'T HAVE "file x"
Typically, computer 1 is your PC or Mac on your desk or perhaps your laptop, and computer 2 is a server somewhere else on the Internet. The key point, though, is that everything's just a file. When you look at this page and see the various graphical elements, photos, etc., they're all just separate files, just as the Web page itself, written in the markup language HTML, is just a file too. And they're all sitting on public servers somewhere on the Internet.
Hopefully that makes sense.
Now, when we're talking about audio files in MP3 format, again, they're just files, so for you to include them on your MySpace profile, weblog, or anywhere else online, you need to put the file on a server because your computer isn't publicly viewable by the Internet at large (and that's a good thing). Need to convert them into mp3 from another format? Check out Smart Audio Converter.
Pictures are pretty easy, you can use popular services like Flickr or Photobucket to store those files. Again, the steps are that you identify the picture you want to send to the hosting service, upload it, then take the URL (uniform resource locator) that the service then shows you as the unique descriptor for your photo on their hosting service. (see my article hosting images on Flickr for a more detailed explanation).
The problem with audio content is that, well, it's too darn easy for you to rip a commercial music CD into separate tracks, upload it to a service, then tell 25,000 of your closest friends to grab a copy or even just listen to it there rather than buy their own copy of the CD. In a word, there are way too many legal issues for any major company to offer audio hosting. Which isn't to say that there aren't some services out there you can try, but they're probably running on servers located in Eastern Europe or a small Caribbean island! :-)
As an example, Snapdrive.net offers free data file hosting services, including "Add Music and Videos to your Site! Quickly upload code to display music and videos to your website, Myspace or Xanga profile." Sounds good, but when you read all their terms of service and disclaimers, well, it sounds to me that it would be quite possible that they'll just randomly delete your file if they're worried it's illegal content.
Want to see some other choices? Just Google free music data upload hosting service, for example, and you'll find services like MailboxDrive.com, Mysplayershost.com, MusicV2.com, and on and on. Are they more or less reliable than Snapdrive? I can't say, but perhaps someone else can add a comment who has experience with one or more of these?
Anyway, long answer for a short question. In a nutshell, if it's an MP3 of you singing or your own indie music that you recorded and own the legal rights, then you should be able to use any of these upload services to host your music files and incorporate them into your MySpace profile. However, if that's the case, why not just sign up for a MySpace band account?
If the music is from a commercial CD, well, then you'd be violating the law uploading it without permission and you'd be at risk of being sued by the Recording Industry Association of America, which would be a huge drag, to say the least.
Whatever path you take, good luck to you!
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Another pretty good file upload service is File Den (http://fileden.com).