Your compiter should have come with a Windows installation CD (if Windows is installed), graphics driver disc, sound driver disc, modem disc, motherboard disc, and probably some software for a cd-writer or for playing DVD's depending on what hardware you have. There'll also be discs for printers, scanners etc.
The sound/graphics drivers will probably be on the motherboard disc if they're onboard.
Hmm.. when I get a new computer, the first thing I do is:
Install (if not yet installed) and update all drivers;
Buy and install Norton AntiVirus on it;
Install a download accelerator, such as DAP, but personally my favourite is FlashGet;
Download and install the latest version of JetAudio;
Buy and make an office suite installation (such as Office XP);
Just an example - of course it'd depend on what you wanted to do with your new computer. But you really ought to make sure all the drivers for the peripherals and components are properly installed, and if not install them, no matter what you plan to do with your computer.