In order to export videos with audio, you need to follow these steps:

a. Close Coach Paint if you have it open.

b. Open the Config Editor and go to the "Audio" tab.

c. Check the "Enable" checkbox that you will find at the top of the options.

d. Press "OK" and "Save" and run Coach Paint.

Note: You won't hear the audio while working in Coach Paint, but the audio will be available after exporting your video.

Note 2: As you are making a format change in the Config Editor (the audio), you will lose the work that you have currently imported in Coach Paint, so make sure to do a backup of your work before making any changes in the Config Editor.