Mentalepsy: I'm experiencing this as well. For me, the music and CD volume controls don't seem to do anything, but the sound control works. I just turned the sound effects all the way up and turned my speakers down.
not sure if this could help but it's worth a try:
when I first installed the game, I didn't click the button "Launch now" right after the installation was complete, instead I exited and started to play with setups and graphic modes, and when I ran the game with the "OUWB" icon on the desktop, the game started in some strange mode - there has been only four episodes (the fifth was not there), the sliders in options were grey sliders, not drops of blood as they should be, the game crushed a couple of times...
So I've re-installed it, this time I've clicked the "Launch now" button immediately and this time everything was right - all five episodes, no crushing, I even saw the intro which wasn't played the first time! And I was able to setup the graphics and sound and controller options afterwards, the game was still ok.
Show yourself... SHOW YOURSELF! :D