What type of HD install? What sound doesn't work? Are you having trouble with xmms? Or not getting the beeps when windows open & close?
You may need xmms-arts plugin. Even though you are use alsa, KDE will start the arts daemon when it wants to & artsd interferens with xmms.
The girls voicest startup sound (/usr/share/sounds/startup.ogg) isn't activated in HD install except Knoppix type install. but it makes a good test sample sound.
To get system sounds you have to active sounds in KDE control Center then edit the hidden file /home/knoppix/.kde/share/config/knotifyrc to be all three entries=true.