The vpj file is not playable. It's an instruction file for Videopad, so a project can be reloaded exactly as it was when the file was written - provided that the source files for the project have not been moved, renamed or deleted.
Once editing is complete, export your project in a format of your choice. The default Mp4 should work well with Windows Media Player.
When an audio file is added (imported) into Videopad, it should play. So If the problem is no audio, be sure that the track isn't muted or turned down. See the 'speaker' icon and sliders at the left of the track. Or right-click the audio track and UNmute.