Like EncryptedCow have said we will need more information about your problem?
I'm not sure if I'm right but if you mean that the sound starts playing from beginning after a new level has been loaded, yes i know that problem very well. But I don't know what you mean with your sprite?
Can you share a screen shot of your events or even the capx file? And how do you handle the levels?
Check out this tutorial, it's awesome for level selection <img src="{SMILIES_PATH}/icon_e_smile.gif" alt=":)" title="Smile">
https://www.scirra.com/tutorials/311/level-select