I do not believe Photoshop has any audio capabilities, but you can export your animation into a file that will import into Premiere Pro CS3. Then you can match up the animation and audio easily and export it to many different video formats. Alternatively, you can try building your animation in After Effects, as it's actually built for both animation and video/audio editing.
If you're using Photoshop CS3 Extended, then it might be possible to import the audio if you include the audio in a video file. You could then import the video file as a video layer and simply put your animation in a layer on top of the video layer. I imagine the audio would still play and your animation would cover up the imported video.
You would need to export the animation in Quicktime format to export the animation with the audio.