Have you loaded the sound drivers from the motherboard CD?
Is sound enabled in the operating system? In Windows, the basic "Sounds" menu is found in Control Panel. Sound events that have little speakers next to them are enabled. Enable sounds for some actions that you recognize (like "exit program" or "minimize") and see if your speakers work now.
Note that operating system sounds don't need to be enabled for music CDs or games to work, but if you're here, we're starting off with the assumption that you aren't getting any sound out of the speakers at all.