If you're loading the demo offline (ie., from the local file system via file:// or some such), Flash enforces strict (but good) security which doesn't allow JS and Flash to talk by default.

To allow JS+Flash (ExternalInterface) to work together, you have to whitelist the specific location (by either whitelisting a whole directory/path, or specific file). I recommend just whitelisting the parent directory, as opposed to the root.

These types of restrictions do not apply when the content is served over HTTP, ie., as with the live site.

(I write and maintain SoundManager 2, which is a JS + Flash sound library as used in this nifty demo - I'm honored. :P)