Depending on the Windows version you have, you can try a few things, but start by checking the Device Manager to see if the sound device is installed and working.
Here are some ideas for XP:
http://www.pcauthorities.com/windows-xp/how-to-troubleshoot-sound-problems-in-windows-xp
Please use the driver cd which came with your system to install all the needed Audio driver softwares. If you do not have any driver cd, then please contact your system vendor to provide the same, as downloading the exact driver from internet is tough as most of the time you wont find compatible driver for compaq machines.
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