Try to include the music file in the catalog itself and check whether the application is recognizing the file or not. If there is some problem with the file itself then the application will not play the music file.
Some times the file extension is mp3 but it may be a bad file. Also check whether you can play the music file in the windows media player or not.
I have found that you need to convert your audio file to an .mp3 file and then it works perfectly. You must do this from iTunes, as follows:
Select the song file you want to convert --
Under the "General" tab, click on Import Settings
Select "import using mp3 Encoder
check the "use error correct . . "
Then you will have to import the song into Elements 11 and add it to the slideshow.