<Random list of things to check>
1. All "in game" options set to allow sound?
2. None of your Windows sounds are checked to be muted in sound options, correct?
3. Do sounds in other directx games work? (Check directx for potential directsound issues.)
Short of the above, which are first thoughts, a friend of mine had this same issue when he first installed the game. He eventually had to change the drivers on his sound card to an older version, as the newest drivers (and the ones he originally had) wouldn't work. (I don't remember what kind of card he has, we were all fighting different small issues during that time.)