You have to select a sound driver which fits your system!

1 - Open the options menu
2 - Select the sound tab
3 - Select another sound driver
4 - confirm with "Okay"
5 - Restart CS2D and check if the sound works right now
Repeat the previous steps until sound works fine
For windows users "FreeAudio DirectSound" is the best choice in many cases.
No driver works? "OpenAL" drivers are not in your sound driver list? Install and try OpenAL!
Get OpenAL at
connect.creativelabs.com/openal/Downloads