Try to refresh the system by installing the latest update: http://support.apple.com/downloads/Mac_OS_X_10_5_8_Combo_Update
It will install over your current messed up sound software.
Please help me, I turned on my mac and tried to start playing age of empires 3 and I had it for a long time already and then a system pop-up said "Mac OSX's sound system could not be initialized. Use audio midi setup (found in the application/utilities folder) to ensure your Mac's audio output is set to 44 Khz, 16-bit. The volume bar at the top of my right screen is gone. My keyboard when i push volume up or down there is no volume it shows volume sign with a slash through it. And my mac does not have Audio Midi setup.
Sounds like the download corrupted, try to download it again. Are you on 10.5?