sMull: I only hear ambient sounds. Does the game have any music?
It does, GOG have ripped the files and put them into a /music folder in the main game directory.
Originally, the soundtrack was burned directly onto the game CD, so the game expects to play an audio CD.
I believe there used to be some kind of fix to trick the game into playing music instead (I think you could make it work using something like WinCDEmu to make a virtual CD drive accessible by Windows), however the easiest solution I've found is just to play the MP3s on a loop in the background using the media player of your choice.