My release of IE9 is 9.0.8112.16421 installed today by Windows Update on my Vista (64).
The following example copied from Microsoft does not play anything (just display a cross).
<!doctype html>
<head>
<title>Audio Element Sample</title>
</head>
<body>
<h1>Audio Element Sample</h1>
<!-- Display the audio player with control buttons. -->
<audio src="test.mp3" controls autoplay >
HTML5 audio not supported
</audio>
</body>
</html>
Works well in Chrome and Firefox. The page is served by a local Tomcat server but does not work neither when opening the "file".
For information the <video> tag works well (with a H264 src).