In order to listen to music you need to make sure that the Volume is actually "on".
This is done using the Volume Control - it directly controls the volume on your computer, not the output of the software.
In the bottom right hand corner of your screen, on the Taskbar, there is a little icon of a speaker. Click this to open the Volume Control.
If you can't find the speaker, then go to Start - All Program - Accessories - Entertainment - Volume Control.
Volume Control
Balance
Volume
Mute All
Other sections include Wave, SW Synth, CD Player and Line In.