If you want to play to your built-in speaker, then unselect the remote airplay speaker selected. The airplay icon is located next to the volume slider and look like a sqare with a triangle in it. Click on it and select your computer as output.
Airplay is the feature allowing you to send wirelesly your audio to an airport express or appleTV for exemple. It seems you may have selected your Airport Express while there is no speaker pluged into it.