Welocome to LQ
XMMS, im assuming your using ALSA for your sound system, as it installs by default.
Default install of xmms uses OSS sound system. So generally it just shuts down as soon as you try to play it. What you want to do is install the ALSA plugin for XMMS.
On your start menu goto System>>Configuration>>Configure Your Computer(type root pass)>>Software Management>>Install>> Then search for xmms it should bring back a couple of results and one of them should be something like this "xmms-alsa....etc. Install that module.
Next start XMMS by clicking on it in the start menu (dont play a song to start it else it will probably shut down straight away). Left click in the top left corner of the main window and goto Options>>Preferences then where it says "output plugin" choose ALSA instead of OSS.
I could be wrong but this will probably be the issue

hope it helps
EDIT: after doing this close then restart xmmz just to make sure the option saves right.