From the pyglet.org Programming Guide:
"Decoding of compressed audio and video is provided by AVbin. If AVbin is not present, pyglet will fall back to reading uncompressed WAV files only."
So this means AVbin is needed to decode and play different audio formats, other than .WAV.
I had this same problem, using Windows 7 64-bit, Python 2.7.6 with pyglet.
I tried installing version 5 and version 10 of AVbin, I tried to copy the .dll file to windows/system32 folder etc., but none of these worked.
This way I got the sounds working:
Download the windows version of AVbin 5 from here: http://avbin.github.io/AVbin/Home/Home.html
Copy the avbin.dll to your project folder. (The folder where your .py file resides.)
This works for me. Hope it works for you aswell.