Yes, Hal will say whatever is in the GetResponse function variable. Using your example you could write:
'Inserted to shell for a song.
If InStr(UserSentence, "PLAY AARON") > 0 Then
Set objWSHShell = CreateObject("WScript.Shell")
objWSHShell.Run("realplay.exe D:CreativeworkAaronsSpaz.mp3")
GetResponse = GetResponse & "Here is your song." & vbCrLf
End If
Every time Hal runs, Hal scans your start menu for shortcuts and writes all the information to a file called programs.dat located in Hal's folder. If you disable automatic scanning from Hal's start up options, you can edit this file yourself to include any links. The link can be a document, exe, shortcut, anything windows can open. Just be sure automatic scanning is disabled, otherwise Hal will delete all your changes at startup.