It is not uncommon for older homes to have two prong receptacles with no safety ground. Sometimes, the older two prong recptacles will have been replaced with three prong receptacles with the ground disconnected. Bottom line: a surge suppresor has to be properly grounded to work.
It is possible to properly ground the receptacles in your home, or even just the one you've got your AV equipment plugged into. Google 'two prong no ground' and you'll get several hits on how to do it. Even if you're not comfortable with tackling the job, at least you'll know what to ask a qualified electrician to do.
Good luck,
Sam