Shoutbox

First of all make sure you got sounds enabled: plus > preferences > instant messages > commands and tags (tab)..tick "allow commands and tags" and "allow soundcommands"

Still no sound: try if changing codec does the trick: plus > preferences > general options > sound config (tab)
MPEG1 does for me..maybe you need MPEG2

If all that fails install/reinstall WMP 9: http://www.microsoft.com/windows/windowsmedia/9series/player.aspx