If not, you will need to install one and get it working. This is where the music will come from. If you have a functioning sound card, make sure the speakers are correctly connected. Of course, if you are hearing sound effects while you use your computer, you can be sure your speakers are plugged in. If your speakers are working fine and you have plenty of sound effects, there are two more likely possibilities.
Many sound cards have separate volume and mute controls for wave files and CD music.
So, just because the volume is acceptable for sound effects does not mean it is loud enough to hear music CDs. Try bringing up the volume control for your sound card. If it is not there, bring it up under Multimedia on the control panel. Once you are in the volume control, Tab around. You might find the CD mute is checked or that the volume is turned all the way down.