To test XM, you should set your COM port, choose your primary sound card, and the line input on the sound card. Disable streaming.
You shoudl then goto XM radio and play a station. You shoudl hear audio coming out once the station starts playing. If not, show the volume overlay, choose the vol button, then adjust the current media volume.
If you still don't hear audio, then one of the following is probably true. Your master volume or your line input volume is low or muted, your xm radio is not connected properly, or your sound card simply does not support bridging of the line input to the master output which I don't think I've ever seen a sound card not support this that has a line input.
If you are sure you have your radio hooked up properly, you should toggle fullscreen, go into the windows mixer, show all the input lines on your output device by going to Options | Properties and checking off all boxes for your playback device, then making sure all lines are unmuted and up.