Without knowing what type of audio file you are dealing with it is hard to say. You are getting an error from Windows that has told Acrobat it doesn't know how to play the file. It is only indirectly a message from Reader.
Try installing a CODEC pack, e.g. K-Lite.
I had this problem. I had it corrected by simply Uninstalling Adobe Reader X and installing Adobe Reader 8. Then I went through the audio files, and they were working.
After that I uninstalled Adobe Reader 8 and reinstalled Adobe Reader X. The audio was working.
Ved from Victoria Institutions