I have an Asus VX238H-W(white) monitor with built in speakers. It is plugged into my computer via HDMI>DVI cable (monitor doesn't have a DVI port and computer doesn't have an HDMI port) and an audio cable to the audio out port on the motherboard. The computer recognizes the speakers as a device and when I play sound the volume meter shows that it is playing, but I never get sound. Both the volume on the computer and the monitor is turned up. I have made sure the audio driver for my motherboard (Asus P8Z77) is updated.
Here are all of my specs as well: http://speccy.piriform.com/results/jlwzmcqtKQsvX16LwiXFKFu