are you using alsa or oss ?
if you dont know, open a conole as root, and type "lsmod" what does it say ?
usually, if you are using a 2,4 kernel, you have OSS, whereas ALSA is usually part of 2.6 kernel.
can other porgrams play sound ? if so, its likely xmms is not setup, if not, then it is likely sound is not configured.
so.. open xmms, select preferences, and make sure the correct output pluggin is selected, oss or alsa.
also, if you are using KDE, go into the kcontroll center and tunr off the arts sound server, its crap, and usually hogs your sound card.