Be sure that you have an audio player such as Quicktime or Windows Media Player installed on your computer. It must be set to play mp3 files.
For Internet Explorer Users Make sure Windows Media Player is your default player for mp3 files. Open Windows Media Player, Click on Tools, then click Options. Click on the "File Types" tab and then check to be sure that there is a check in the box beside mp3 audio files (mp3). Close Windows Media Player and try playing the message file again.