Maybe. What OS do you have, which version of LW do you have (I figure the newest since your new) how much RAM do you have, CPU power, etc etc.
(Could just be that your comp is a bit slow and needs some time after you click the file to preview before it actually starts playing it.)

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iMac G4 OSX 10.3.9
RAM 256MB
LW 4.10.5 Basic
ADSL anything from 3 to 8Mbps/around 1024kbps

"Raise your can of Beer on high
And seal your fate forever
Our best years have passed us by
The Golden Age Of Leather"
-Blue Öyster Cult-