JLayer does not support continuous play, so you have to use a loop to repeatedly start a new player after the old one finished. For example:
try
        {
            do
            {
                FileInputStream buff = new FileInputStream(Okno.filename);
                prehravac = new AdvancedPlayer(buff );
                prehravac .play();
            }while(loop); 
        }
        catch(Exception ioe)
        {
            //TODO error handling
        }
with loop being a boolean you can set true or false in a different method depending on if you want it to be played just once or repeatedly.
If you want to access the thread later you should at least declare it to a variable. Even better is writing a seperate class that extends thread. Doing so you can add method to the thread you can later call.
For your code it might look something like that:
import java.io.*;
import javazoom.jl.player.*;
public class MyAudioPlayer extends Thread {
    private String fileLocation;
    private boolean loop;
    private Player prehravac;
    public MyAudioPlayer(String fileLocation, boolean loop) {
        this.fileLocation = fileLocation;
        this.loop = loop;
    }
    public void run() {
        try {
            do {
                FileInputStream buff = new FileInputStream(fileLocation);
                prehravac = new Player(buff);
                prehravac.play();
            } while (loop);
        } catch (Exception ioe) {
            // TODO error handling
        }
    }
    public void close(){
        loop = false;
        prehravac.close();
        this.interrupt();
    }
}
With this you can simply create the Thread when and wherever you want like this:
private MyAudioPlayer thePlayer;
    [... some class code here...]
    public void yourMethod(){
        thePlayer = new MyAudioPlayer("path of the music file", true);
        thePlayer.start();
    }
and if you want to get rid of it at some point call thePlayer.close();
Note that thePlayer should be an instance variable so you can reuse it again. If you only declare it within a method it will disappear after the method is finished.
Hope this helps.