[Darryl Ramm]

You have to select some suitable interface as the playback engine in Pro Tools (Setup > Playback Engine) even if it is the internal sound card/audio device in the PC. or "Built-in Output" in a Mac.

What computer and what interface are you trying to use (where will the Mic or guitar or whatever be plugged in?). Start at the "Help us help you..." link up top of this web page. Provide a Sandra report if running on a PC (and you intend to use the PCs internal sound card/device).