Do you know whether you have onboard sound or a sound card installed? If yes:
Might be that problem with the drivers. Go into the Control Panel. Open System, Hardware, Device Manager in there look for your sound device. Might have a question mark or a exclamation mark. Indicating problem. Click on the sound device and the window will give you details (whether device installed correctly etc)
If you PC has onboard sound you might want to remove the device. Restart windows and the Hardware Wizard should find and reinstall drivers.
Alternatively if you have a PCI Sound Card you might have driver disk or could find the make/model of card and find drivers on web.
A further option is to use the XP Troubleshooter which you can use to tie down hardware problems.