Are the speakers connected through the audio jack? I'm not sure which one but do you need to/did you already select a different (besides HDMI) audio device in EmulationStation > [Start button] > Sound settings > Audio settings > Audio device?
@irish620 I personally bought the second link, and I haven't had any problems and it's almost been a year now. The disc came destroyed but the drivers are taken care of on the pi anyhow so it didn't make a difference