How are you running the preview???
Are you new to AE?
If pressing the . key on the numeric keypad doesn't preview the audio or using PreviewAudio from the menu doesn't work we need to know a bunch more about your system.
Yes, I'm completely new to AE. I'm previewing by double-clicking the thumbnail that gets created by the import.
Oh, this is interesting: when I hit the NumPad . key I get the audio running. How do I get audio and video preview together?
Hit the zero key on th numeric keypad. AE will preview as much of the comp as memory allows. It may even preview in real time, depending on the resolution and frame rate of your comp.
If it doesn't, I recommend a trip to AE's online help for a look-see at the section entitled, "Views and Previews"... and don't fall into the trap that hitting the space bar will give you the preview you seek.