Try creating a .htaccess file on your server and adding this line:
Or if .htaccess already exists just add that line to the bottom of it.
<img src="https://dl.dropbox.com/u/8367729/construct/pics/htaccess.png" border="0" />
The weird thing is: Sound effects do seem to work inside IE. Wouldn't he normally have those stored as M4A, as well?
Without checking the actual file size, I'd also dare say the audio file for the background music is way too big, as it takes approximately 2 minutes to load for me.