It is a matlab's way of storing variables and values. When you load a .mat file you just load the variables and values . You could hear audio, if the data stored is of a audio file.
Handel.m is an example audio file in Matlab (a 9 second sample of the Hallelujah chorus from Handel's Messiah). This can be loaded using "load handel" at the command prompt, which will load two variables: 'Fs', the sampling frequency in Hertz, and 'y', the audio signal amplitude as a single column vector.
To play the file, use sound(y,Fs), or see audioplayer in the Matlab's help documentation for more flexibility on the playback options.
You can use the function [y,Fs] = audioread(filename); (where 'filename' is your audio file) to import .wav files into Matlab. This generates the variables y (the sampled data) and Fs (the sampling rate) into the Matlab workspace, which can then be saved as a Matlab .mat file.
See http://www.mathworks.co.uk/help/matlab/ref/audioread.html
If someone can help me i want to loud a recorded sound to matlab, and i dont wont use a handel.mat because i want to loud my own sound, so how can i do this?