Just to expand upon Roger's advice...
Drag your mouse along the timeline to highlight the section you want to loop. Then click the loop button in the toolbar. It will set the loop points to the current selection, but you can drag the start and end markers if you need to make the looped region smaller or larger.
If you've customized your toolbar such that the loop buttons aren't there, you can perform the same actions via the right-click context menu on the timeline.
Unsolicited advice...for auditioning effects, it's best to leave a little quiet time before and after the sample. Also don't forget to listen in context, as what sounds great in solo may not be what best suits the full mix. I like to stick an instance of SPAN when doing this, so I can quickly see where the bulk of the low end energy resides, as well as what upper-end sounds are available to play with.