DVI doesnt transfer audio as far as I know, so there is no logical reason to say a DVI to HDMI cable will tranfer audio... if the gpu had a dedicated HDMI port, and the ability to receive audio signal designed into it, then it would be a different story...
Darksideleader... you're telling us, that youre using a DVI to HDMI adaptor, with no other cables and getting audio? I find that incredibly hard to believe...
Edit, I just googled, apparently some require the supplied HDMI-dvi adaptor for it to function, in which case, you would only need to enable the digitial out in windows and it should work... I didnt mean to call anyone a liar, but the OPs method doesnt work either way... and conventional DVI does NOT transfer audio...