Click the volume icon in the lower right of the screen. To the right of the volume slider click "Select a sound output"
Another shortcut to get to this tool is the windows key + ctrl + V on your keyboard.
A list of output devices will be shown - choose where you would like audio to go. "Speakers" typically means a built in speaker - if it's a projector or screen, it will typically show the name of the device - ie IFP7550 for a ViewSonic board.