Best answer (Chosen by asker)
Most obvious thing to do is first check whether you have audio in your PC at all, try playing some audio files with some media player first and if you don't have audio in your PC at all, continue reading... :-)
This typically happens because the DVD player software you're using doesn't support the audio format the DVD is encoded with. Two most common audio formats on DVDs are AC3 (often called also Dolby Digital) and DTS.
If you're using freeware player like Media Player Classic, it might be that it doesn't come with AC3 or DTS codecs (although the latest versions should come bundled this these audio codecs). For AC3, you might want to try downloading freeware AC3Filter package that normally solves the problem.
For DTS, first thing what you should try to do is to change the audio selection from DVD's menu, as according to official DVD-Video specs, DTS audio can't be the only audio available on the disc. Most of the DVD tools that come shipped with your DVD drive, don't normally support DTS, but the support has to purchased separately. Every now and then you might find out that you've downloaded or copied a bootleg DVD (downloading such items is illegal in various countries, but legal in many western countries) that has only DTS audio left on the disc. In this case, try the Media Player Classic we mentioned earlier, its latest versions (when writing this, v18.104.22.168) have an "experimental" support for DTS.