You're not giving us enough information as to what is connected to where on the converter.
Long story short, HDMI and DVI use the same signal format for digital video, they are just wired differently, so they technically don't have to be "converted." DVI, however, does not output audio. You're device is likely meant to split an HDMI input into separate DVI and audio outputs, and maybe even work the other way around joinging DVI and audio inputs into a single HDMI output.
So, if you are connecting you're PCs video output via DVI and expecting to get audio output out of that DVI signal, that's not going to happen as DVI does not output audio.
Hope this helps.