When I click from the main menu on AUDIO then ADVANCED PROJECTS, a small splash screen starts to open but never opens up fully. There is just a small screen which says "please wait component loading.".

I want to edit audio files. I though this was possible from the Advanced Projects, but right now I'm confused.

What that will open is Music Disc Creator.You can also open it from the Start menu.
If you want to edit files use Sound Editor.Go to Start,All Programs,Roxio EMC 8,Audio,Sound Editor.