Windows sound configuration
First, you have to make sure your sound settings are configured properly under windows
Click on Start Configuration Panel Sound settings Control Panel Audio devices
You will see a window that shows the Input and Output devices on your machine.
Go to the Audio Tab and make sure your devices are detected before you go any further. If they're not, go to website of the manufacturer and download the appropriate drivers.
Note for the Audigy users : You may deactivate the embedded audio controller (i.e:AC97) on your motherboard. Edit your BIOS settings to deactivate the integrated Audio Controller.