Check the back of your TV as the audio leads on some DVI/TVs will need to be plugged in to the audio sockets right next to your DVI socket.
My DVI TV had a conspicuous set of red/white Audio sockets which I originally used and had the same problem you are experiencing until I realised that the DVI set up had its own audio sockets.
add:- You would not need to make any changes in the set up menu if this works
---------- Post added at 15:45 ---------- Previous post was at 15:38 ----------
Also I forgot to add
add ...
to the forums.
