If you hear all sounds in the game, but not the sound of your own gun, it's probably because the audio output of your sound card doesn't match what you have connected to it. E.g. you may have the output set to 5.1 but you only have two speakers or a pair of headphones connected, meaning that your sound card sends audio signals intended for speakers that are not there.

In other words: Make sure the output of your sound card is set to whatever speaker setup you have connected to your computer. This is a hardware setup and it is done "outside" the game.