Can you tell us the version of Acrobat and the OS you have? It can help troubleshoot the issue. What type of media file is it? I have had media files seem to not work, but in reality, my computer was processing the call to play the media in the background... and it took way longer than it should have. With this in mind, maybe click to play it... and wait a minute or two. Not ideal or desirable, but perhaps there's something going on behind the scenes while it appears to not work initially.