Or, are the sound drivers installed correctly? Or at all?
Go to the volume control logo on the taskbar on the right. If you right click and go to Open Volume Control, is everything blanked out? Or is that logo even there? If any of these are true, your onboard sound, or soundcard just isn't installed.
What sound card have you got?
If its onboard, and you still have your motherboard cd at hand put this in, and it should have the sound drivers on it
If not, try and get hold of the name of it so we can find drivers, or a search on google or something will find them pretty easily.
Try this program called Everest, which will tell you exactly what you have on your PC if your not sure of the make or model of the sound card:
Some drivers you might get might not install automatically and might need a bit of help. In this case, go to Start, Settings, Control Panel, Add/Remove Hardware.
The computer wil do a search of any new pieces of hardware that are in, but are yet to be installed. You'd then select to browse for it, and click what you've downloaded (if its an exe file, it should just install by running it anyway and won't work through this way). it should then install and you might need to restart.
If it doesn't detect a soundcard (though you will have one), go into Bios at start up by pressing the 'Del' button on the keybaord usually.
Go into the 2nd menu i think, and check for onboard sound. Look that it is enabled (this will only work if its onboard sound), if its not, press enter on it and enable it. Then press escape to go back to the main menu and go to 'Save and Exit Setup' and press the 'Y' and enter key to accept.
I hope this helps