right click the speaker on the taskbar near the clock. select 'playback devices'. Youll see a list of all HDMI & digital outputs. Make sure the analogue one is selected, not the HDMI stuff. it should say speakers. tick it and hit apply.
The plug you have in the back is analogue out, not digital. We are making sure that you have selected analogue out. if youve selected HDMI out then the pc is sending the sound to the HDMI port of your graphics card.
For later , if you ever need to connect the PC to a tv, you want to select HDMI output so the sound goes to the TV via HDMI cable.