Have you tried any other DVD player software? Have you tried playing the DVD on a standalone player and TV?
It could be that, for some reason, Cyberlink isn't reading the audio codec.
Though Premiere Elements uses a pretty standard Dolby Digital audio codec, so I'm not sure how likely that is.
As a test of what Steve wrote, go back to PE, and Burn to Folder. Point CyberLink Power DVD to that folder and play from there. Do you get Audio?
I'm with Steve in that PE does a good, DVD-spec AC3 Audio file, that *should* play fine. CyberLink Power DVD is a good software player.
If you are not getting Audio, first place I'd check was the Audio setup on my system and then Ctrl-c from within Power DVD. What are the settings under the Audio tab there?