Rob,
What are you selecting?
If it's the "Load Song Demo" button then that doesn't load audio demos. That's for loading SGU/MGU songfiles that PG Music used to create the demos. There is a path problem for some of these songfiles that PG Music are in the process of fixing. (It's been reported.)
If you are pressing the Green arrow head, which is the audio demo start-up, and not hearing things then something is wrong.
Should the latter option above be the case...
1. Click on "Action"
2. Go to "Set dialog options"
3. Select the "Use internet for style auditions (if not found on the disk)"
Does this help?
Regards,
Noel