If the motherboard doesn't have a sound card integrated into it, you'll need to install a PCI sound card. If it does have an integrated sound card, you need to install the drivers and connect the speakers.
My computer says there is no "sound hardware" im running windows xp, i built this computer from a barebone kit online. I installed a regular AGP graphix card onto the motherboard in an additonal slot not the supported dual PCI Express slots. Everything is working fine besides the fact their is no audio what should i do?