The single most common cause of failure to play is
that around 20% of
the users whom have Java have a version of java which is so old that
it doesn't have JavaSound (which is needed to produce anything other
than 8bit, 8khz audio). Microsoft clients appear to be the most
frequent victims of this.
the problem is that many IE users will be using it with
the msjvm, which as
you say is rather aged (due to the ms v sun legal issues).
maybe make the player downsample to 8 bit 8khz audio and put up a warning
banner saying "you are using a very old version of java, sound quality will
be degraded", or find a ms specific way to play audio (if that is possible
from an unsigned applet without breaking use on more modern jvms).