Using MP3 player with arduino to play sound

I am trying to build an alarm system in front of my place. I would like to play a police sound (mp3) but you know that the arduino can not handle mp3. I read about generating sounds and only thing arduino can play is wav files and mono. So I decided to use an MP3 player or some sort of that and trigger it when the alarm is off. What you think of this idea? If you have other suggestions please advise. Thank you very much for your help.

Other suggestion: play WAV files! :) Why bother with MP3? It is good for compression when you want to download songs faster or want to save space on storage. But today's microSD cards can easily store 4GB, that's over 6 HOURS of uncompressed (WAV format) stereo audio at 44.1 kHz sampling rate! You don't really plan on playing police sounds longer than that, right? ;)

-- The Rugged Audio Shield: Line In, Mic In, Headphone Out, microSD socket, potentiometer, play/record WAV files

Thank you for your help. I think I read also that arduino works only with mono not stereo. Also do you have a link or some guidance on how to do that using SD card + arduino + speaker; to be able to play sound and how loud can you go. I want it be very loud. I saw some tutorial online but the speaker they use is two small for what I need it for. Thank you very much