Sorry for the obvious suggestion, but are you sure you have plugged you speakers into the right socket? Also, when you play cds do you play them through the speakers or earphones. If they play through the speakers then it is likely to be a driver and/or configuration problem. Have you run DxDiag and checked DirectSound?
Intersting, have you tried uninstalling and then re-installing the card? As it is on-board try deleting the device from device manager and then re-booting, should find it and enable you to re-nstall drivers. Also have you got the latest drivers from the internet?