Circuit part : The connections are really simple if you are using 0.5watt speaker then directly connect the +ve pin of speaker to digital pin 11 on Arduino & -ve pin of speaker to gnd & if using 3 watt speaker then use a tip120 transistor & connect the 11 of Arduino to the base of transistor and -ve pin of speaker to the collector of the transistor & emitter of the transistor to the gnd pin on Arduino.

Download Required Files :To do this you will need few files first of all file to play PCM audio from arduino. ThEN we will need Audacity software to convert a normal mp3 audio to a 16bit PCM 8hkz audio & Lastly we need a encoder software to encode that audio into data which we can paste in the code. DOWNLOAD Audacity - 

 Download PCM.ZIP & Encoder software (file named as Arduino added in file section & github link.

Prepare Audio & Convert It Into Data : The important step is to prepare the audio data. so very first we will need a mp3 file either you record one or get one from anywhere then open that file into Audacity and & click on format then select 16 bit pcm then go down & select frequency of audio to 8000hz & export the audio as mp3.

Then open encode audio software & navigate to the audio file we generated from audacity then you'll get a message audio copied to clipboard successfully.

Coding Part : So the next part is coding part , so as you downloaded the the file which contains file so add this file as a library to the arduino & then open the playback example available in the that PCM library , & there in the sketch you have to edit the 2nd line of code in sample[] array which is of programem type you need to remove all the data in that array & paste the data which is copied to the clipboard by the encode audio software. And after that upload the code to  Arduino.