Make sure that:
If your compiling in debug Mode, your using debug libs
If your compiling in Release Mode, your using release libs.
In VC 2005 Express, you right click on project, choose properties and right at the top shows the configuration (wether your in release or debug mode) make sure your libs match this.
I know this is the problem I had with loading images, so may very well apply to loading sounds as well.
I think many may be a little confused on this factor, because without following, things will not work or you get crazy results.
Scott.