Are you using a Mac?
If so, the problem is that Mac uses a program called "Preview" to open PDF files instead of Adobe Reader. Preview cannot play the embedded audio files.
So you need to first install Adobe Reader: http://get.adobe.com/reader/
Then in order to ensure that you open the PDF using Adobe Reader right click on the link of the PDF file and choose "Download Linked File". Once it's downloaded to your computer, right click on the file and use "Open with"- then choose Adobe Reader.
If that doesn't work, then open Adobe Reader first and use it to open the PDF file.
Good luck!