Have you waited a while to see if it plays later? If you import a movie that has the audio in a different format than what you have selected for the project (e.g. 48 kb/s vs 32 kb/s) then it will have to modify the audio. You can tell when it is doing this by the message "Conforming audio" or something like that in the lower right corner. Depending on the your machine, and the length of the clip, this could take several minutes. For example, on my 3 GHz machine, a 1-hour video loaded as a single clip might take 10 minutes or more to do this processing after I import.