Assuming you run Windows 7. In the notification area of the taskbar is a little speaker icon. Right-click on that and select "Playback devices"
In the window that opens, right-click next to any device showing and select "Show Disabled Devices"
Now see if the device you want is there. If it is enabled, right-click on "Test" to hear a sound.
If Disabled, click "Enable" and then click "Test" to hear a sound.