Hi, Stephen.
The best way I can think of to test sound files is to actually add a new command that plays the sound. That way, you can browse directly to the file and make sure the path is correct. I'm thinking older versions of VA would not show an error if a sound file wasn't able to be accessed (I may be remembering wrong). If the file path is correct and there still is no sound, make sure that the volume is turned up for the default audio device in Windows.
Regarding the volume slider being grayed out, VoiceAttack is in, 'Legacy Audio' mode which usually means that you do not have Windows Media Player and its components installed (which is what VA uses to play audio). Since you've indicated that you're using Windows Media Player, it's likely that you've got, 'force legacy audio' checked in the options screen.
Gary