The audio cable coming out of My Pal Scout's battery pack (available on the back of the package if Scout is still in the box) may not be fully inserted into the headphone jack of your smartphone, tablet or computer. Try re-inserting the 1/8th inch plug into your device's headphone jack. If you have a protective case on your smartphone, it may help to remove it temporarily.
Please Note: This answer applies to the new 2014 version of My Pal Scout which has the LeapFrog logo on the ear and comes with an audio cable (rather than USB cord).