A couple questions to narrow your problem down.
1. Does the PC otherwise make sounds? Try to run a .wav or somesuch and see.
2. Are you launching MAME directly or through a front end? Try launching MAME with a command line prompt and see if that title makes sounds. If it does, check your front end settings.
3. Lastly, and I hate to ask these questions... but are your speakers working (turned on, generating sound from other sources, etc). Try a headset to listen for sounds maybe.
4. Have you looked at your PC's volume controls to be sure you haven't somehow muted your PC? Or alt-tab out of MAME while running, and go to your PC sound mixer and make sure you haven't muted MAME there.
5. Is your PC plugged in. I kid, I kid. But is it?