Pro Tools SE will not work with the speakers/sound card built into your computer.  Pro Tools SE requires the included M-Audio sound card/audio interface (e.g. Micro USB, Producer USB, MobilePre, Fast Track) for audio input and output.  Please connect your speakers and/or headphones to the M-Audio sound card.

Note: On Mac OS X, the Pro Tools SE quick-start program if Adobe Flash based and will playback through the system default output device, which may be your built-in sound card/speakers.  To change this, go to Apple's System Preferences > Sound > Output tab and select your M-Audio device.