I wanna know how to click on something and have it play a audio

Define something... (A UI element, a 3D object in the game using picking???)

Ok, I'll fill in the blanks: (we'll just go the simple route)

Hook up a sound source Component to the game object your script is attached to. Make sure you have a SoundListener attached (usually to Camera.mainCamera in your scene.)

if you have a GUITexture element in your UI, you can use myElement.HitTest and if that test is true, then call: audio.Play()

You can also call PlayOneShot with an AudioClip as a parameter.

If you are using the Unity GUI. stuff, you can play a sound in response to a GUI.Button being clicked. See the Unity GUI docs for more info. They give good examples.