There are a few ways to play sounds.
1. You can use Drum Rack.
Drag the Drum Rack instrument into Session View and look at all the boxes. You can put sounds in them. Make sure that the channel is armed for record (button below Solo, next to the channel volume, turns red). Hit your pads and watch to see which boxes light up. Look for sounds and drag them into the box you want. When you hit a pad, it should make sound
2. You can use Session View's clip slots.
Drag audio clips into the boxes in Session View. On the top of the screen where it says 1 Bar for global quantization, set it to None. Then on the far right top of the screen is a Midi Map button. Click it, everything turns blue, don't touch your controller at all. Use mouse pointer to select a clip, then tap a pad once. Exit map mode, the clip should play
The manual tells you more advanced ways to use the above techniques.