You might need to get the correct codec if audacity won't open the file, but then that leads to the question of what format are these files in? Go get this and try again:
K-Lite Codec Pack If you still can't open the file after that, then it's probably a protected file. Or maybe it's a sign that you shouldn't be using K3 sound effects in your game
It's also possible that you missed something in the code. You mention that you tried this in a clean version of the Seph engine - do the other sound effects work correctly even if you copy them somewhere else? What about loading a completely different sound, one not from the K3 files, does that one work? Just for reference:
1) Once, on game start, you load the sound into a global variable:
global.sndPlayerJump = FMODSoundAdd("sfx/sndPlayerJump.wav",false,false);
This takes a file in the sfx directory named sndPlayerJump.wav (make sure everything matches, idk if it's case sensitive but better safe than sorry) - and leave the two false values as-is, they specify 3D/Streaming capabilities which you won't need for this. (Although streaming is nice for BGM - keeps the huge files out of memory and loads instantly on startup)
2) When you want to play the sound, pass in the global variable you created:
FMODSoundPlay(global.sndPlayerJump);
And that's all there is to it.