To play an audio clip on application start:
1. Import the clip via File -> Import ...
2. Click one the Artboard (make sure no item is selected)
3. In the interactions tab on the right, it should say "Application", and to the right you can click on "Add Interaction"
4. Choose "On Application Start", "Play Action Sequence" and click OK.
5. Click on the timelines panel in the bottom left (if it's hiding, double click the tab)
6. Under Action Sequences, there should be an "On Application Start Item". Select it.
7. Select any object in your first page (kind of wonky, but a sound effect needs a "target" object)
8. Click on "Add Action" on the bottom of the Timeline, Choose "Sound Effect"
9. Select the sound file you want to play
It's a lot of steps, but it shouldn't be too complicated.
This works really well.