Open up a terminal window and type:
ls -l /dev/dsp
You should then see something like this:
crwxr--r-- <bunch of stuff here> /dev/dsp
This shows that only root has Read Write and eXecute permissions. You will want to change this so that your user and groups can access it. You need to be root to do this so now type this:
password: <enter root password here>
chmod 755 /dev/dsp
Now, if you type ls -l /dev/dsp you should see this:
indicating that you can execute it. /dev/dsp is the sound server that will need to run for you to hear anything. Since we're logged into a terminal as root, you might as well type:
chmod 755 /dev/mixer
to give your users/groups permissions for the sound mixer as well. If this doesn't solve your problem, please post any errors you have here. Also, we'll need to make sure that you've actually set up your sound card. If you log into X as root, can you hear sounds?
Hope this helps.