Are the drivers up to date? (sometime windows updates stop drivers from working)
Did you connect speakers or a headset to your sound card?
Did you connect it to the correct socket? (It should be the green socket on the back of your computer or the socket with a headphone symbol on the front)
Have you turned up the volume on your computer/speakers/headset?
Have you set the default playback device to your sound card? (Start->Control Panel->Sound)