It could just be a problem with the file. Is it an old clip you had sitting around or something you ripped recently? I loaded an old AVI file I had into Vegas and had the opposite problem - video but no sound.

Also, when you bring the clip from the Media Explorer down to the tracks, there's three video tracks and three audio tracks. Make sure the audio ones weren't muted. Also make sure the audio landed on the correct track. What kind of speaker setup do you have? Maybe it went to the surround track but you only have standard speakers on your computer.