Sorry if this is obvious but: If there's a constant sound in the background, you could have the sustain control turned up too high. If the last sound the board played was a tune (as opposed to a noise like the pop bumpers), and sustain is set too high, it will play that note continuously until the MPU makes it play the next sound.

When you hear the continuous sound, turn the sustain control counterclockwise and listen for it to stop.