Audio files will not play, on the screen shot that did not load. Converted properly, through GoldWave. Also tried through dBpoweramp, there is no result Did all the instructions! Sorry for my bad english from Russia :3
From that, I'll assume "voice_input.wav" was not created in your game directory? (see the sticky)
It seems something might be blocking certain HLDJ commands, or less likely, that HLDJ cannot create the voice_input.wav file.
Try testing on your own server, make sure the game is installed correctly (verify files in Steam), and that you are not loading any scripts that interfere with or overwrite HLDJ commands.
Also make sure no other application is attempting to access your audio files, or the voice_input.wav file (other than the game).
Lastly, what version of HLDJ are you using?
What also may be helpful is a screenshot of your game directory, showing its contents, after you attempt to load a song.