Try using an audio loop or just plain ole wave file. Soft synths open a whole nother can o' worms of problems.
As Mike said, be sure to choose in Options>audio whatever card you are listening too. One suspects it is your ownboard card going to PC speakers.
Finally, are you deaf? That can be a problem if you are trying to hear SONAR (well, hear anything, but let's deal w/ one problem at a time).
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