adding default audion player using shortcode

I have been trying to insert an audio file into one of my pages so that the default audio player shows up on the page, but I can’t seem to do it. The only thing that happens is that I get a link on my page that you can click on that takes you to a blank page with a quicktime player on it. You can hear the audio, but I want the audio player to be embedded inside the page.

How do I get the default audio player as it is shown here:
http://en.support.wordpress.com/audio/

I tried also to do it using the shorcode [audio http://underachieversassociation.info/wp-content/uploads/2010/08/Per-la-vita-RBB-Kulturradio-1.mp3%5D

but this just displayed that in the post and not the audio player.

help please!!