Audio can be heard only in VLC player, but not in the editor I have few files that I did retrieve from webpages, and saved as MKV files.

VLC play them without problems, but when I load the file either in the Windows video editor, or in Power director 13, the video play but there is no audio.

I am not sure why I can't even convert the file from VLC, since even using the conversion engine that is integrated in VLC, the resulting file has video but no audio.

My understanding is that if the video player can play it, then the system has the right codec, so why neither windows video editor nor Power director 13 are not able to play the audio?
.MKV files are not a friendly video format when working with NLE systems. And the non existent audio you're getting is probably due to the way audio  in .MKV files are wrapped. 

I would suggest transcoding the .MKV file(s) to .mp4 if you're working with Windows Movie Maker. Alternatively you can follow this link for suitable formats: video files

A really good transcoder (free) is adaptor. It will read your .MKV file without problems and should convert to a .mp4 file just as easily.

Be sure to crank up the bit rate to get the best possible picture :)