If your Macbook Pro has no sound (at all) and you cannot set the volume then check if your headphone speaker has a red light. If it does then you may need to poke a toothpick around to reset it. I kid you not.
After a day at a clients listening to files via the headphones the sound had locked and in System Preferences > Sound > Output only had Digital Out. A quick wiggle inside with a toothpick and I heard a click and the red light went off and the sound came back on. Perfect.