Is is possible to keep playing the music while navigate through the site?
Therefore I include the Pop-Up Player, which communicates with your page.
The other possibility is that you need an ajaxified theme, where only a part of the page reloads and not the whole page. I found some plugins, that makes your wordpress site ajaxified. I test it in twenty eleven and it was working like a charm for me:http://wordpress.org/extend/plugins/ajaxify-wordpress-site