Have a look here, and see if this works for you.
Sounds won't play across multiple slides on the web
http://www.pptfaq.com/FAQ00303.htm

 I am trying to publish a slideshow as a webpage, and it has sounds on each of
 the slide transitions. It works fine as a presentation, but when I save it as
 a webpage it dosn't work. If I add the sound as an object, on each slide I
 can get it to play when clicked on, but not automatically when the slide
 loads.

 I am really confused as to why this isn't working. I am using office 2003

 Any Ideas?

 I am a highly experienced user so you can use big words with me and I will
 understand what you mean.

 -Greg