First off, yes, the D915 series of boards all have Audio on board, with Line In (Blue Conn.), Speaker Out (Green Conn.), and Mic (Red Conn.) on the back of the motherboard.
The product manual is available on the intel website:
It states that it includes a 6-channel audio subsystem based on the Realtek AL860 audio codec. The manual will eventually take you to the Intel driver download page:
The key, I believe to your problem, is to make sure you have:
1. the latest BIOS
2. the latest INF installed
3. the driver set for the ALxxx chipset.
Make 100% sure that within your BIOS that the Audio portion of the board is enabled.
Also, on Page 45 of the manual it speaks of the Front Panel Header (10 pin header between PCI slot and PCIe 1x), and notes the following:
To restore back panel audio, follow these steps:
1. Turn off all peripheral devices connected to the computer. Turn off the computer and
disconnect the AC power cord.
2. Remove the cover.
3. Remove the front panel audio cable.
4. Install a jumper on pins 5-6 (rear R channel).
5. Install a jumper on pins 9-10 (rear L channel).
6. Replace the cover.
Hope this helps.