What operating system are you using? That will help determine why you're not getting sound. If you're using Linux you will need to specify which sound device to use as some Linux distros default to HDMI. The same is true for XBMC if you're running that. You'll need to change the settings to analog.
If you're running Windows, assuming you've got everything in the BIOS set, you'll want to install the correct drivers. You have 2 drivers for audio, 1 for HDMI audio and 1 for analog.
I hope this helps.