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There are only two things I see, 1) You should update your windows to SP 2, and 2) See if there is an updated audio driver.

If you do not see a battle icon though, that may be the problem, rather than a sound problem.
 
When you click on the unit in combat, you will see an exclamation mark on the right panel that displays unit stats.

Click on this and it brings up the combat screen and plays the combat sounds.
 
Castellion i cant say how sorry i am for bothering you with this dumb question of mine.I cant belive how stupid and blind i were...I couldnt see battle icon...Now everything is ok and i can get back to playing HOI2...once again sorry...