You are probably running into incompatabilites between Browsers and/or eMail handling.
This music feature (by Microsoft) in Outlook Express assumes that you are sending the email to someone who is using Microsoft Internet Explorer and viewing it with Microsoft Outlook Express.
If the person you are sending it to is using a different Browser or using a different email reader to view the email, results can be different.
I just sent myself an email with music, using all Microsoft software and it worked perfectly.
Just for kicks I sent the same email to my NetZero account and viewed it with the NetZero email reader.
It displayed the text portion immediately, but I had to wait until the music downloaded before the music started. But it did play automatically.
The results may be different if you are sending the email to a Yahoo, Hotmail, or AOL accounts.
I have run into this before when sending imbedded photos.
If the person is not using Internet Explorer as their Browser, receiving the music as attachments is likely.
..........
Hint:
Avoid sending large music files (such as .wav).
People with dial-up internet connections will not appreciate it. (it takes too long to download).
I used a .midi music file, they are usually around 50K.
..........
Try sending a music eMail to yourself and see what happens.
...
..
.