Igorian, you're a f******g genius (and I now feel very stupid!)
When I first installed windows today I did indeed check and the "play" button was greyed out, but I hadn't checked since. Sure enough this time it was, as you said, going through the motions, but no sound.
Closer inspection revealed (wait for it)... I'd plugged the speakers into the out jack on the modem rather than the sound card! DOH!
Test WAVs now work, CD audio doesn't but I suspect I can fix this myself, a connection inside between the CD drive and the soundcard is needed for this to operate, right? (I don't recall seeing one when I looked at the card yesterday, or possibly that's when it came unplugged).
In any case, that can wait until I look inside again tomorrow, for now I'm just relieved that the card is working and "windows sounds" are playing fine.
Next on the list, you said that the unknown device earlier was the modem, how can I test this without connecting to an ISP? I don't have an AOL disc to hand and I don't want to install that until the last possible minute...