Really I need more info about the make and model of your motherboard. However you can make a start if you check the following:
Does the motherboard have audio connectors attached ?
If it does, check that on-board audio is enabled in the BIOS.
If it is your PC should have asked you to set up the drivers for the audio device. Take a look in device manager and see if there are devices listed under Sound Video and Game Controllers.
If there are audio devices shown, are there any symbols next to them showing they are not working correctly ?
If so, you need drivers. If not, your audio is set up correctly, check your volume levels.
Add-on sound cards are very cheap, if you can't get it working I suggest to opt for an add-on card. They usually give better quality anyway.