I'm guessing that you have placed the sound in a layer in the timeline. If you use a sound object to hold the sound and control it, you can get it to play continuously.
You really shouldn't be using scenes. They are a legacy of much earlier versions of Flash.
Using Actionscript would allow greater control as Ned suggests, but even otherwise you should be able to play and control your audio clip through multiple scenes.
Can you please elaborate what exactly you wish to do and where are you getting stuck. In general, an audio with Sync property set as Event or Start plays across scenes as well.