You should have a small cable connecting to your sound card. Make sure that it's connected at both ends. Make sure that it's intact, maybe it have a broken whire or one connector is broken. Replace it if needed.
Make sure that your sound card is enabled and sellected as the default audio device.
If it still don't work, you should think about getting some speakers. They will probably give you a beter sound anyway, unless you get the cheapest you can find. Shop around.
Electro, December 2012
