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).