That's odd, the code should work. In an applet
you should use getAudioClip(...), not Applet.newAudioClip(...), by the way.
In the Java Console, can you see the audio file being successfully downloaded, with no error messages?
Maybe you could explain me howto make a java policy file
No policy file (or signed applet) is needed since the file now comes from the same server that hosts the applet.