Solution from Psik0 :
Guys, I had the same problem as you did, and I've found a way to get around that (tested it myself and it works)
Go to your documents and then \My Games\Skyrim there is a file called SkyrimPrefs.
Inside it, scroll down to the very bottom and you'll find 2 lines:
[AudioMenu]
fAudioMasterVolume=1.000
Just change that 1.000 to a higher value, according to your listening needs (personally, i use 4.000)
Have Fun

URL : http://www.gamefaqs.com/boards/615805-the-elder-scrolls-v-skyrim/60961169