By default voice messages are played as soon as they are received.
On a Windows PC / Mobile this can be changed by unchecking Beep on new messages in settings . If this is enabled voice messages will automatically play when received and vice-versa.
File / Menu ---> Settings ---> General and select Beep on new messages
On the Symbian version of Palringo to disable auto-play uncheck the following option.
Options ---> Settings ---> un-tick Play all new voice messages automatically
In addition, the Windows Mobile and Symbian versions will not play voice messages when in a 'vibrate' or 'silent' profile.