What type of audio card do you have. On an Audigy card, the plugs are as follows. If your's is the same, you have your speakers plugged into the wrong places.
A (orange port) Analog/Digital Out connector: Six-channel or compressed AC-3 SPDIF output for connection to external digital devices. Also supports Center and Subwoofer (LFE) analog channels for connection to 5.1 analog speaker systems. This is also used for connecting digital speakers only.
B (blue port) Lin_In: Line In connector connects to an external device, such as a cassette, DAT, or mini-disc player.
C (pink port) Mic_In: Microphone In connector connects to an external microphone for voice input.
D (green port) Lin_Out1: Line Out connector connects to powered speakers or an external amplifier for audio output. Also supports headphones.
E (black port) Lin_Out2: Rear Out connector connects to powered speakers or an external amplifier for audio output.
F SB1394™ 6-pin connector: Connects to an IEEE 1394 compatible device, such as a digital video camcorder, digital still camera, printer, or scanner. This connector is powered.