if you want to check them without the big install mentioned above...goto my computer\c:\program files\htc\aces high\sounds and look for the damage files..i believe its damage1, damage2, etc..then double clicking should activate your media player and play the file. If you hear a damage sound by doing that, but no damage sound while your playing, check to make sure you have the volume turned up for the particular sound in the AH sound setup.
While playing AH hit esc setup sound and scroll down to the damage files and check to make sure they are not 0.