Do you have permission to write to /dev/dsp?
ls -lh /dev/dsp
You will probably get something like this back:
crw-rw---- 1 root audio 14, 3 Apr 15 2001 /dev/dsp
The permissions show that in this case root and members of the audio group can read and write to it, but world can't do anything to it. Add yourself to the audio group, on my system I would (as root):
adduser username audio
The log out and log in again.
Another possibility is that you don't have a sound driver installed, in that case you need to modprobe the module for that card's chipset.