Do you get the following error?
To play the media you will need to either update your browser to a recent version or update your Flash plugin.
Then you probably didn't select the media extensions that you want to play with the audio or video player. Make sure that you have selected the extensions in the shortcode generator under 'Media files' -> 'Provided formats'.
If you have selected the extensions, make sure that you only select the extensions of the files that you provide. If you select the mp3 and oga extension, you must provide both formats for every file.