It is possible that you have more than one sound card, and the system is by default playing the test sound through your default card, but your player is playing it through the secondary card.
To test this theory...
Download Winamp
http://www.winamp.com/player/free-download-full?lang=en-usOnce you have downloaded and installed Winamp, (do not install any extra, i.e. the toolbar, remote, or the emusic 50 free mp3's btw)
When It opens it will play a small MP3 to test winamp. If you cannot hear it, try the following.
open the preferences by pushing ctrl+p or by right clicking on a blank portion of the GUI and going options > properties.
on the left scroll till you see output, and direct sound should be highlighted.
click configure, and you will get a window like this:
Then see how many available audio outputs you have, and see which one is selected for playback. If default audio playback is selected, pick another, try to play the file. if it still doesn't work, go pack and pick another, ect.
Hopefully this will help.
another option is....making sure you do not have WAVE muted in the sound mixer.