Hi Calin
OK, looks like the Arduino code uses different pins for LEDs compared with the picture on that original project website. If you have your LEDs on digital pins 7, 8, 12 and 13, then that matches the program.
Sorry if you have already checked this, but do you have all the LEDs the correct way round? And what happens if you swap the working LEDs for the non-working ones?
Also, could you clarify exactly when (if at all) you get sound out? What do you do to make it happen? And does it sound anything like what you expect based on the video on the website?
EDIT
Question about the program. The code includes a bunch of other files (e.g. below). Have these been downloaded as well as the main program and they all compile OK with no error messages?
#include "IllutronB.h"
// Include the wavetables, you could add your own as well
#include "sin256.h"
#include "ramp256.h"
#include "saw256.h"
#include "square256.h"
#include "noise256.h"
#include "tria256.h"
Cheers
Ray