Ever since the rocket scientists at Microsoft upgraded IE, you now have to double click the little arrow that plays the audio. Once to activate the control, and once to play the audio.
You'll need to do it every time.
Of course, if your using Firefox, then this isn't an issue for you :)
Some songs may take a couple of seconds to start playing once clicked.
Happy Clicking You Crazy Freak!
Hey Man, Nice Fart