SashaD:
I guess it is not possible to play a full song on Arduino without an SD card(?).
256 KB aren't enough even for a lossy compression like MP3, well... unless you pick the lowest bit rate that makes the music sound either "metallic", distorted or muffled (in other words: horrible).
SashaD:
I guess I'll just have to buy one :P.
Not a big deal, you can get an SD card + a module for as little as $10