the possibilities of the Autoopen macro. That's executed automatically when you open the document. http://word.mvps.org/FAQs/MacrosVBA/DocumentEvents.htm seems a good start.
That leaves you to find out how to locate the inserted object in VBA and how to play it.
http://www.google.com/search?q=vba+play+sound+&meta= might be helpful for the second part. If you can get it to play a sound from your hard disk, in stead of a sound inserted as an object in your document, that might be sufficient.
I'm sure there are ways to loop through all included objects in a Word document, and see if it's a sound, but I've never done it. Study the VBA help, or read a good book about VBA programming in Word, that's all I can advice you.
Maybe somebody else has an easier solution in Word.
The easiest I can think of ouside of Word: make a batch file with 2 lines: the first plays the music, the second opens Word with the file. Then use a shortcut to that batch file on your desktop or in Start>Protgrams to open the file. But this isn't the real thing, of course.
Kees
I record some sound clips from inserd object, wave sound in Word, I hope I can hear them when I open the file. I can not do it, is there somebody can help me out. I appreciate your help in advance.

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