There are a few common problems with sound under Linux.
ALSA vs OSS
There are two entirely separate and parallel sound drivers – the old OSS drivers, and the newer ALSA drivers. A lot of applications still look for OSS drivers (/dev/dsp) only. If the application error is something like "/dev/dsp: no such file", or "/dev/dsp: no such device" or "/dev/dsp cannot be found", then this is probably your problem. If your system is using ALSA (check: does "lsmod" show lots of lines with "snd-" in them?), then the application in question is misconfigured, and needs to be configured to use ALSA.
If it can't (or won't) use ALSA, then the author of the application needs to be asked to add ALSA support. In the meantime, the solution is to load the snd-pcm-oss and snd-mixer-oss modules, which are an emulation layer to enable OSS-only applications to use the ALSA drivers.
Often, the sound devices (/dev/dsp for OSS and /dev/snd/* for ALSA) are configured so that only users in the group "audio" or "sound" can access them. Check that this is the case with
ls -l /dev/dsp
ls -l /dev/snd
If it shows permissions of, say,
crw-rw---- root audio
then this may be your problem. Check which groups your user is a member of with the "id" command. If you aren't a member of the group, add yourself to the relevant group, log out and log back in again to pick up the new group membership.
Less of a problem now than it used to be, but you may not have the drivers for your sound hardware. You can use "lspci" to find out what hardware you have in the machine (the /LspciOutput page may help you here). The output of dmesg may also show what you have. Probably the easiest way of working out which driver you should be using is to ask on the MailingList, quoting the output of lspci. Alternatively, Google may be able to give you a straight answer.