In many ways but one of them is this:

import javax.media.*;
import java.io.*;

public class PlayMP3Thread
extends Thread
{

private URL url;

public PlayMP3Thread(File mp3)
{
this.url = mp3.toURL();
}

public void run()
{
try
{
MediaLocator ml = new MediaLocator(url);
Player player = Manager.createPlayer(ml);
player.addControllerListener(
  new ControllerListener()
  {
  public void controllerUpdate(ControllerEvent event)
  {
  if (event instanceof EndOfMediaEvent)
  {
  player.stop();
  player.close();
  }
  }
  }
);
player.realize();
player.start();
}
catch (Exception e)
{
e.printStackTrace();
}
}

}