So, you managed to run tuxguitar, but there is no sound...
Start with simple trivial things: are your speakers turned on, did you press play? Are instruments in TuxGuitar muted?
Windows users often have muted MIDI volume in operating system’s mixer.
First check your Tools→Settings dialog, under the “Sound” tab. Select any sequencer (”Real Time” if it is available. Under the senquencer is the list of your MIDI devices. If you have Java Sound Engine you should at least see “Java Sound Synthesizer” in device list. The others are from your operating system.
Java Sound Synthesizer is visible only if you have Sun Java (see JVM compatibility issues)
You chose “Java Sound Synthesizer” and it doesn’t work:
If you have required plugin (you probably got it inside TuxGuitar) you should see some native MIDI devices. So they are keeping quiet - check if system MIDI works at all.
You should try to play a MIDI file in any application (Winamp, Amarok...). If you cannot, it is the issue of your operating system (OS).
Windows Vista doesn’t allow MIDI device configuration (there are several little programs that allow MIDI device picking in Vista)
In Windows older than Vista, go to Control Panel→Sound→Audio→Midi Music Playback and see what devices are available
When you succeed, you should change TuxGuitar settings to use working MIDI device.
Try to adjust volume again. :)
For every problem there is a solution. Not many things can go wrong in this case, so probably your problem is already solved on forum. Please check all earlier posts on TuxGuitar Forum before you ask a question.