Don't forget to provide all the info required when posting here folks (sound card, installed driver version, video card, installed driver version, etc...). See the stickies at the top of the forum.
Sabotage: I have read of a couple problems encountered when people use the custom install option. If you're still having trouble after following verbal's suggestions above, try uninstalling completely and then reinstall using the default configuration. If worst comes to worst, let us know that you still have a problem and then disable the sound (so you can play) and play it in the background with another mp3 player (Winamp, etc...)
hristo and Villa: did you do default installs or custom? Can you play the music in the folders using an mp3 player? etc...