Audio can be heard only in VLC player, but not in the editor
.MKV files are not a friendly video format when working with NLE systems. And the non existent audio you're getting is probably due to the way audio  in .MKV files are wrapped. 

I would suggest transcoding the .MKV file(s) to .mp4 if you're working with Windows Movie Maker. Alternatively you can follow this link for suitable formats: video files

A really good transcoder (free) is adaptor. It will read your .MKV file without problems and should convert to a .mp4 file just as easily.

Be sure to crank up the bit rate to get the best possible picture :)