Another issue is that the problem could be with your default audio device... If you have Windows XP do this:
1. Open Control Panel
2. Click Sounds, Speech, and Audio Devices
3. Click Sound and Audio Devices
4. In the window that popped up click the Audio Tab
5. Under the Sound Playback select box make sure that nothing external is set. Like I have a M-Audio Fast Track Pro which has external audio outputs, so when ever I plugged that it, it would use the Fast Track instead of my normal audio card.
If you have Windows Vista... Ask someone else

*I use XP because I don't have vista*
I hope this helps...
// Edit:
If you have a list of options to choose from in the sound playback and don't know which is the correct one, list 'em up and I'll help you out... Or Google them...
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