If you are using a Power Mac at school or a Macintosh at home, chances are that the sound system is already set up. Most Macintoshes come with soundcards and speakers already but if you have a PC and and do not have both a soundcard and speakers you will not be able to get sound.
Netscape (versions 3.0 and above) have built in (internal) sound players which you can use - or you can elect to use a different, external sound player.