Just to be sure...
1. Are you using a sound card or integrated audio device?
2. Have you connected the monitor speakers (usually a green-colored plug) into the motherboard or sound card?
3. If you're using a Sound Card, did you plug the monitor speakers into it?
4. If you're using a sound card, have you checked to see if Windows is still using the default audio device, instead of the sound card?
5. Have you tried using the monitor on a different system to verify that the speakers work?
6. Have you tried plugging in anything else (head phones, desktop speakers, etc) to the audio jack on the motherboard or sound card?