Sounds continuing through scenes

How do I make a sound continue through changing scenes? For example, I have music playing on the main menu (of a game), and I want to make the song continue playing when I click a new link.

Thanks in advance!

Have an overlay scene playing the music!

thank you!

If you are going the python way have a look at the aud module.
It is really simple to use and you can play sounds an music independently from scenes.