When Finale 2006 first came out, it was not able to save audio files when using other VST libraries. There was an update shortly there after (2006a) that resolved this. If you are not having this issue, make sure you have the most recent updated 2006 version which is 2006c for Windows and 2006d for Macintosh (Intel Specifically). You can check your version by going to the ABOUT FINALE section either in your HELP MENU (Windows) or FINALE MENU (Macintosh). You can get the update at http://www.finale.com/downloads
For additional help with further Finale isues, please go to http://support.makemusic.com. Log in to your account and submit an online case to Finale Technical Support.