I`m on XP SP3, the audio plays OK using the little preview button on the track but not as part of the composition. Boris is such a steep learning curve that I wondered if I was suffering from some sort of "cognitive deficit".
Good - so the audio is making it's way through the system. Well one thing to understand is that the "preview with audio" applies only to the preview to RAM, and does not include pressing the spacebar to preview the clip. You need to first ensure that Preview with Audio is enabled and then press the zero key while keeping the control key held down. This action should kick off the preview to RAM with audio.