I have the same problem trying with XP SP3.
During uninstalling/installing the various sound drivers for Boot Camp, there is a particular combination that enables native Windows sounds to play, but when trying to play music though Windows Media Player, there is no sound (even though the scrubber moves and the visualisation kicks in once it starts playing).
The other disovery I've made is that after a fresh install of XP SP3 and a fresh install of Boot Camp, all sounds work (even in Media Player).
This is before a restart though. After a restart, there is again no sound at all.
I suspect it is something to do with the ATI graphics/sound drivers, because after the restart is when the graphics driver is utilised and higher resolutions are available etc. Uninstalling the ATI sound driver results in it reappearing again after a restart.