1. Audio was not included when exporting media
2. You exported elementary streams instead of a muxed stream
3. You encoded to AC3, which does not play in WMP by default.
If that does not help, be more precise with the details you give.
Your doing something wrong that's what is happening. Need more info to help you out. There is box that can be unchecked for audio. If that's not the problem then we need more details.
I think the problem is with files exported out of AME, Eddie.
Since the OP provided a dearth of details one can only assume the source clips are unsuitable. Yet another shot in the dark.