Something screwed up, and now it says "no audio output device installed". How and where do I get said device?

Which game are you trying to install/run? You need to make this post in that game's PC hardware issues forum.

Also include -

Whether you're using a dedicated sound card or an audio chipset integrated into the motherboard.

More detail on what you mean when "something screwed up" - did you recently update drivers/hardware? Make other system changes?

Well I was trying to get a mod on that did something to the sound card maybe. And I try to hit the sound icon down in the lower bar, and it says NO AUDIO OUTPUT DEVICE IS INSTALLED. What to I do to or how can I get one back?

EDIT...I tried going to CONTROL PANEL\HARDWARE AND SOUND and clicked on the NVIDIA icon, but a window came up that said "NVIDIA CONTROL PANEL APPLICATION 6.9.850.0 has stopped working". So is there a way to get it to work correctly, if I have windows vista?

Which mod, and again, which game?

Open the Control Panel and navigate to the Device Manager (I don't know what Windows version you have so I can't give exact directions on how to get there). Under Device Manager, look for sound, video and game controllers and expand that section. If you have a yellow exclamation mark next to any of the listed sound devices, you either have a hardware problem with that device, or the driver installation somehow got borked.

I have windows vista. Where do I look to define it better?

in Vista;

1.Click on Start and then Control Panel.
2.Click on the System and Maintenance link.

Note: If you're viewing the Classic View of Control Panel, you won't see this link. Simply double-click on the Device Manager icon and then proceed to Step 4.
3.In the System and Maintenance window, click on the Device Manager link near the bottom of the window.
4.You can now use Device Manager for whatever you needed it for - updating device drivers, viewing the system resources that a particular piece of hardware is using, etc.

Like Gator Country said updating your Nvidia drivers might be a good start. http://www.nvidia.com/Download/index.aspx?lang=en-us and it will give you the latest drivers for your card.