Do you have on-board sound (e.g. integrated into motherboard), or, do you have a PCI/ISA card plugged into your motherboard (e.g. soundblaster).

If onboard, check your bios to make sure it's enabled, if not, shutdown, take card out, reboot, shutdown again, plug card back in (make sure it's well seated in the connector) and reboot.

What operating system are you running ???