You've posted this in the forum for the Pinnacle Video transfer device. I assume that you aren't using this device. Before I move it to the correct forum could you say what software you are using? Pinnacle Studio version? or Avid Studio?
It may also be relevant what operating system you have, 64 or 32 bit. And if you are in a PAL or NTSC country. There have been capture issues with your particular camera.
Can you clear a few other things up?
Music and DVD’s play,
In Studio or in Windows? (hopefully both)
After you have captured the video files from your camera, if you play them using Windows Media player can you hear audio?