The audio is probably AC3. Vegas 4 won't read AC3 audio. You might try some other program to convert the audio back to WAV. Or you could just connect the audio plugs from the DVD player to the computer, press PLAY on the DVD player and RECORD it in the computer.
Beginning with Vegas 6.0c, you can use the File - Import - DVD Camcorder Disc to import from non-copyprotected DVDs.
Edward Troxel