Shut down other applications
If no sound device is found, make sure to shut down any music application or similar running and try again. If this fails, try running "AmnesiaTheBunker.exe" directly from the install directory.
Change Cyrillic letters
It has been reported that a path with Russian letters can sometimes make this happen. So change your path so that it doesn't have Cyrillic letters.
Change Windows XP settings
For Windows XP users, check the Hardware Acceleration slider in Control Panel > Sounds and Audio Devices > (Speaker Settings) > Advanced... > Performance tab and make sure it is set to "Full".