Embedding audio in web pages can be a tricky business, because it relies on both the viewer's web browser and audio player programs being set up correctly.
The first thing to check is how large your audio clips are. For example if you are using WAV files, they will be quite large if the clip is any longer than a few seconds, and will take a long time to download. The reason WAV files don't appear to be playing could simply be because they haven't downloaded yet. Rather than using WAV files, try a format with good compression such as MP3.
Generally, audio support in Internet Explorer is very good, because Microsoft have managed to integrate Windows Media Player is a fairly seamless fashion. Audio support in Netscape however will require that you install a decent audio player plug-in. The Apple QuickTime plugin tends to work very well in the newest versions of Netscape.