You're not selecting the HDMI as the audio output device.
It would have helped if you'd said what version of windows, but assuming windows7, right click on the speaker icon in the bottom right of the screen, select playback devices, when the list of playback devices comes up right click on the one that says something like HDMI audio device and select set as default device and click OK
You'll have to reverse the above when you're finished to get the sound back out through the speakers.