Did you try playing it after it is loaded? Also add error handlers to see if there are any errors while loading the file.
collisionSound = new Sound();
collisionSound.addEventListener(Event.COMPLETE, onSoundLoaded);
collisionSound.addEventListener(IOErrorEvent.IO_ERROR, onSoundLoadError);
collisionSound.load(new URLRequest("bang.mp3"));
private function onSoundLoaded(e:Event):void
{
collisionSound.play();
}
private function onSoundLoadError(e:IOErrorEvent):void
{
trace(e.text);
}