[Miz]

Usually, the advanced controls aren't displayed by default, you have to click on Options (in the upper left hand corner) and then click on "Advanced Controls" to enable them.

Have you checked in Control Panel>Sounds and Audio Devices>Sounds tab to make sure there are sounds selected for various system events?

While you're in that window, click on some event in the upper pane, makes no difference which one, which activates the "Browse" button. Click it and it should open C:\Windows\Media where the system sounds are kept. If there are no wav files in that folder, we've located the source of the problem

If the Windows default sounds are in that folder, click on the Windows XP Startup.wav (its a long one so you'll have time to make sure the volume is up enough) and see if it plays.