>After having brought it down to the lowest common denominator, I found out that this seems to be a bug in IE when the IFrame where this is being played is not visible. If I run the same code by launching that URL as is, it works. But, the same code launched in an invisible IFrame will not work in IE.
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>In Firefox this works. So, this seems to be browser related.
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>When it works, it works in both mode, thus with Response.Write() or with Page.ClientScript.RegisterClientScriptBlock().
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>Would there be anyone who would have an idea of a workaround to have this working in IE in that condition? There could be something else. But, so far, the only thing I could see which seems to be a factor is the fact that this wav or mp3 file is being played within an invisible IFrame. As is in a page, which is the same URL, if I paste that URL manually in the browser, it works.

DOCTYPE?
Not exactly the same problem but likely related:
http://groups.google.com/group/jplayer/browse_thread/thread/fb400cee55100dab