You didn't fill out the system specs and that would help someone to help you.
The sound output ("Playback") can be set in Control Panel/Hardware and Sound/Sound Panel. In the Playback section you can select the "default playback device" which is normally your speakers.
On thought, are you watching through a Video card HDMI connection? On some Video cards, there must be a connection to the PC's S/PDIF connection for the HDMI audio.