Are you trying to play a preview in the preview panel? If you preview with the regular play button closer to the left, it will play the video, but won't play any sound.
There is a button on the far right of the preview panel called RAM Preview. It looks like the Play button, but with a few extra lines. It's just 5 buttons to the right of the play button. If you use that to preview your video clip, you'll get sound.
Unfortunately, it's a little tricky to use, depending on how much of the timeline (the green line) you're allowed to render and play. I'm still a beginner, trying to figure this program out myself. Best of luck to us both.