There are two ways to do it, one easy and one hard, but neither will play the sound until the train starts moving.
The Easy Way:
This works in Automatic mode and requires setting a Trigger in front of the train as it sits in the station. The sound will play as soon as the train hits the trigger. It requires slight modifications to these two files: coaster name, sound file name, and trigger name need to be changed.
http://pastebin.com/jzqsGBnn
http://pastebin.com/Sx0YWy8c
Those two scripts set the Trigger location in the script, but it is easier to do it in Editor mode and just delete the lines creating the trigger point from the script.
The Hard Way:
This requires the coaster to be in Scripted mode. The way you would do it is to poll the station and see if the train was ready to leave. If the answer is yes, play the sound. This is the more accurate of the two methods since it starts playing as soon as the train is ready. This may sound easy, but being in Scripted mode comes with extra coding overhead, such as operating the brakes, checking to see if train is at the station, etc.... I don't recommend it just for playing a sound.