Since the marker is moving, it appears that Finale is doing its job. Without more information about your setup, though, it is hard to tell what the exact problem is. If you are playing back to an external MIDI source, check the settings in the MIDI Setup dialog box, make sure that you have assigned the staff a sound to playback (Instrument Window), check all of your MIDI connections to be sure they are correct and check your MIDI software setup if you are using any MIDI drivers other than Finale's.If you want the playback to be generated internally (no external MIDI device) make sure that you have checked "Internal Speaker Playback" under the Options menu and that your speakers are properly connected. You will also need a soundcard, sound fonts, QuickTime or some other source of sound for internal playback, depending on your computer type (Mac or PC).
Finally, you might want to check out the chapter on playback in the online documentation (39-10 in 2002) to gain a bit more insight as to the different setups.
Good luck.
Jim Coull