I have similar issues when I first got my Pi set up. If you have an HDMI cable hooked up, it is trying to output the sound over HDMI. You will have to specify the target of your sound if you want it to go to the 3.5mm jack. A simple search of these forums led me to this post: http://pimame.org/forum/discussion/769#Item_1
@mholgatem details instructions on how to get sound to work.
Do you have speakers plugged in? Are they turned on? How about the volume? You aren't really giving us any idea what you have tried, or what the problem is. We can't help you if you don't give us enough information.
So the sound should be going through the HDMI also then? You may have to force the sound to output over HDMI in the /boot/config.txt file. There is a forum topic about it here: http://www.raspberrypi.org/forums/viewtopic.php?t=5062
'sudo' gives you full permissions (Super-User-DO), 'nano' is the name of a program, a basic text editor, and then lastly is the file that you want to edit '/boot/config.txt'
Ahhhh windows users..... completly lost without a mouse and a graphical user interface... in fact with a real OS :D.... I think Pi is a good way to develop the use of Linux... but some basis should be necessary to avoid all of these noob questions : rights management, files tree organisation, bash commands etc.... a long long way to go
then you probably typed something incorrectly and it's creating a new file. by default, there is a bunch of commands that are commented out (lines that start with '#' are comments)