1) How is your monitor connected?
I'm using HDMI and the audio goes through that as well. The possibility here is that the audio drivers for the actual audio system (e.g. Realtek) are not installed, hence no sound through audio ports.
2) If you go to the Sound control panel (Control Panel -> Hardware and Sound -> Manage Audio Devices) and check what you have in the Playback tab.
3) Check in Device Manager to see if there are any yellow exclamation marks/drivers installed
This is just to check the basic audio hardware/drivers. If these check out, then we need to look deeper.
I will have to look for more details on the Razer Lycosa as I'm not sure what that is...
Michael