I seem to have troubles understanding questions today
Do you want the audio of a previous click on an arrow to continue or to stop when a new arrow is clicked? It is your last sentence in italics that is confusing me.
If the audio has to stop, I would recommend to use the "Play audio" command in the advanced (or shared) action that is triggered by the click on the arrow. When you repeat this command by the action on the next arrow, the previous audio clip will be stopped automatically.
If you want the audio clip to continue, you need to use audio objects: Audio Objects: Control them! - Captivate blog