Open up ff7config.. it's under your ff7 directory and looks like a chocobo.
Hit the "Sound" tab, and play with the various devices in the pull-down list to see which one works best, making sure you test center, left, and right. You SHOULD hear a chocobo warking when you push the button.
If you don't hear anything at all, you might have wav's muted in your sound control panel. Open up your soundcard's configuration thingie (or Windows volume control) and make sure "wav" isn't muted or turned really low.