GA- 81865GME-775-RH - NO SOUND

The GA 81865GME-775-RH mobo has onboard sound so you don't need a sound card. Check at the back of the board you will see the pink, green and blue sound slots. First just have a look on the motherboard and see if the audio cable has been connected which takes sound to the front of the PC, sometimes if this is connected you will not get sound at the back slots (its a green 10 pin connector), pull it off and just try for sound at the back first.
If you still have nothing, make sure audio is enabled in the BIOS. If it is and then it could just be a case that the drivers were not installed during the windows installation. If this is the case the Device Manager will show a yellow exclamation mark with an unknown audio device. Hopefully you have the driver disk that came with the board, (it should be an almost black CD, marked Gigabyte, Intel 875/865/848P - ver. 1.07) it self starts, and it's easy to follow. It has an "express install function" which installs all required drivers at one shot, they are individually selectable. If you dont have the disk, the Gigabyte site will have them for you to download. The driver you need to use are Realtek AC97 Codec.
I am assuming you have checked the obvious things like your speakers, and the sound settings in "sounds and audio devices" in the control panel. If after doing all this you still can' get sound, you probably have one in a hundered board that has factory problems. Good luck. and let me know if you managed.