I believe Musicman6425 is right, except I'll add the following: If you are using Windows Media Player, check to see whether you have digital playback selected. If so, turn it off. If using some other program, I guess check to see whether it has a similar option.
Here is the WMP 7.1 documentation on the digital playback feature:
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Configuring CD Audio options
Use the CD Audio tab to configure playback, copy, and archive settings for Windows Media Player.
To access the CD Audio tab
On the Tools menu, click Options, and then click CD Audio.
The following options are listed on the CD Audio tab.
Digital playback
Specifies whether to use digital or analog playback. Select this check box to send digital audio to your speakers. Clear the check box to send analog audio to your speakers. If your hardware does not support digital playback, analog audio might be used even if the Digital playback check box is selected. When analog audio is used, visualizations do not work, and your equalizer and SRS WOW settings do not affect the analog audio.
SRS WOW is a technology that enables you to enrich your listening experience. For more information about SRS WOW technologies, see the SRS Web page if you are connected to the Internet. To access the page from Windows Media Player, click the Now Playing feature. On the View menu, point to Now Playing Tools, and then click SRS WOW Effects. Click SRS to open the Web page.
Note You must select the Digital playback check box for visualizations to work when playing a CD track.