Why my midlet can't playing sound during phone locked ?

Dear all please help,

I am new to j2me programming, i was create .wav player on my phone.
My midlet was running propperly, but immeditelly after my phone locked, my application stopped to playing the sound file.
When i unlock my phone, the midlet start to playing sound again.

Why has that occured ?
How to keep my apllication stay to playing sound even if my phone locked ?

Please help, thanks in advance.