Usually PC's have an internal speaker that you would hear the POST beeps from and other system sounds as well as external speakers that you would hear Windows and Media Player sounds from. It "sounds" like you have neither working. You can check your system speaker setting as on or off in the BIOS. Depending on your system, you would press a specific function key at boot to enter the BIOS (ex. Dell PC's press F2 to enter system settings).
Your sound card, if installed, should be giving you sound via external and sometimes small internal speakers. First check the System icon in Control Panel to see if there is a sound card installed and if it says it's working properly.
To use the Media Player for listening to CD's on the system, you would need a sound cable connected from the CD drive to the sound card inside the PC.
You didn't say what type of system or OS you are running. It would be helpful to have more information in order to assist you. Please contact me via TechRepublic email for more help if needed.
Good luck.