It sounds like there are no audio drivers loaded on you machine for your sound card. Unfortunately, without knowing the name of your sound card or version of Windows you are using, it is difficult to help further.
If you have this information you can do a Google search for the name of your sound card, followed by Windows XP, Vista, 7 or whatever you have then followed by the word driver.
An example would look like this: Realtek alc892 windows 7 driver