This pissed me off too, but it turns out that the solution's quite simple, just follow these steps:
1) Go to My Computer
2) Open up Control Panel
3) Select "Sounds, Speech and Audio Devices" (if you can't see this, skip to next step)
4) Select "Sounds and Audio Devices"
5) Click "Speaker Volume" down at the bottom, should be in the "Speaker settings" section.
6) Notice the sneaky right-sided bastard is set all the way to the left. Bring it up close and personal with lefty and OOSH! You've done it!