No sound when I import a movie into Sony Vegas?

So, I downloaded a movie that I wanted to take clips from and put together for a youtube video but every time I try to import it into Sony Vegas to do any editing, the sound does not come with it.

It's a .avi and there are no sound files like you'd find with a normal DVDRIP.. It's all one file (aside from a .SRT file for subtitles, which I don't use anyway). It plays fine in Windows Media Player and has sound like it is supposed to.

Any ideas?