You play an mp3 the same way as in Windows: Open an audio player and navigate to the file or open a file manager and click on the file.
Most Linux installation programs sniff out your sound card and install the proper drivers. Some sound cards can be troublesome. Most Linux installations also include one or more audio players.
Some questions you need to answer before we can help you further:
1. Which Linux distribution? "Linux3" doesn't tell us much. Something more specific, such as Ubuntu [version number], Linux Mint [version number], CentOS [version number], or the like would help.
2. What sound card? If you're not sure what sound card, you can use the dmesg command
to find out. Also, if it's a mass-produced computer, you should be able to find out in the paperwork or at the manufacturer's website.
3. Have you tried to play an mp3 and, if so, what program did you use or what program did the OS select and what happened?