The preview doesn't always support everything.
The best ( and my personal recommendation ) way to do testing is to create
the html files on the pc and then open them in your browser.
What steps did you use in what version to set the background sound?
What sound file format was used?

Signature
David Bartosik - MS MVP
for Publisher help:
www.davidbartosik.com
enter to win Pub 2003:
www.davidbartosik.com/giveaway.aspx
> I cannot play a sound file when I preview my web page as a web site