Assuming you are using alsa and the speaker-test passes, you need to check that the correct alsa device is selected in xmms -> output plugin -> configure.
If the correct output is chosen, then you should be able to play an mp3 file - you will not be able to play midi or wav files. If you want to play a flac file, you need to load xmms-flac and restart xmms.
If you use pulseaudio for sound, you will need to load xmms-pulse, restart xmms and choose the pulseaudio output plugin in xmms.
If the speaker-test does not pass, xmms will not play music.