I helped a client over the phone today who had a sound problem. She could hear the Windows startup and shut down sounds, but could not listen to a CD or any Internet audio/video. After confirming that the Window's sounds did work (by going to the Control Panel, then Sounds, Speeches, and Audio Devices), I had her insert a music CD. A few seconds later, Windows Media Player appeared and she said the picture was moving and the time line was also moving, but no sound. I had her double-click the little speaker by the clock and ensured that all volume levels were up and nothing was muted.
The only culprit left was the sound adjustment in Media Player itself. Like all media players, Windows Media Player has its own volume adjustment and mute setting. Turns out that Media Player itself was muted. The moral of the story? If system sounds are working through your speakers, but CD's or other audio content does not play; check the volume and mute settings in the plaer.