The state of Relaxation is a skill that we all need to practice repeatedly. If you keep using the audio, you will find that it gets easier and much more familiar to you.
Falling asleep is when your conscious mind gets out of the way and your subconscious mind wakes up. These audios are designed to put you into the REM state of mind. This is the state of mind where your brain has switched off the ‘critical faculty’, which means you are able to take on board the positive suggestions within the audio easily and at a deep level.
…So, falling asleep is a good thing!