In the control panel under sounds and audio device properties there is an audio tab, and on this you should see default device for sound playback. You have to make sure that the one you want to use is the one that is set to default. If that is set correct, then look at the advanced audio properties and make sure the levels are set correctly.
* I have this same video card in one of my system and it works great, however you have to specify which audio device you want to use its not automatic with XP. With the same system with Windows 7, the PnP allows the HDMI to autodetect that the cable is connected to TV and redirect audio out the HDMI vs onboard, so it was only with XP that doesnt autodetect and so you may have to manually select between 2 audio adapters onboard and the video cards built in audio for HDMI with Windows XP.
If you were planning on buying Windows 7 in the future for this build and switch lots of times between onboard sound card and HDMI, going with Windows 7 fixes this issue!!! I have 2 hard drives in this system and discovered this problem but found the work around. But also i rarely use XP on it anymore and with Windows 7 no problems with this autodetect for audio.
*Note: Screenshot below is not from my system with this card but another Windows XP system to show location of these settings.
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