Playing Music with Apple Cinema Display 27"

I hook up my MacBook Pro to my Cinema Display and use the Cinema Display as the only screen. (As opposed to running the Cinema Display screen and the MacBook Pro screen).

I plug in all three connections to my MacBook Pro (MiniDisplay Port, Power Adapter, and USB Cable) from the Cinema Display, But when I try to play anything with sound, it plays through my MacBook Pro speakers, not the built-in Cinema Display speakers.

Is there a setting to make it so iTunes or any other program plays through the Cinema Display?