There is often confusion, when it comes to outputting a "muxed" AV file, i.e. one that combines both the Audio stream and the Video stream into one, discrete file. This is where Multiplexing comes it. It combines the two streams into one file, that can then be played in all players that support that file type and the chosen CODEC's.
In most Export/Share settings Panels, one will see multiple Tabs, such as Audio, Video and Multiplexing. To output an AV file, that combines the Audio & Video from the Timeline, one must first set the Audio and the Video to Export. This is usually done with checkboxes, for Export Audio and Export Video. That is the first step. Now, and this is often overlooked, one must go to the Multiplexer Tab, to instruct Premiere how to combine the two streams. The options differ slightly, depending on the format/CODEC chosen in the Audio Tab, and the Video Tab, but "DVD" is the most common. The other choice will usually be "None," which will result in the Export of elemental/elementary streams, i.e. one Audio-only file (with the settings on the Audio Tab), and a separate Video-only file (with the settings on the Video Tab). This non-Multiplexed output is often used, when one is doing authoring to DVD, or BD, in a separate authoring app., and is usually the preferred workflow, but that will depend on the exact authoring app. chosen. For a single file, with both the Audio and Video combined, one will want to set Multiplexing, and usually to "DVD."
Hope that this helps,