The files game.gog, gamea.gog and gamed.gog are cd images of the original games with the music on them. But GLQuake, which is the version you run if you use the desktop icons, doesn't have a way to access those images and cannot access the music.
The simplest way to hear the audio is to run" Quake (Software Mode)" from the Start Menu, which will run the DOS version, which works because DOSBOX can read those CD images. The only catch is that performance is not so good on the DOS version. Fortunately, this is due to a poor choice of default settings on the part of the GOG team and is easily fixed:
1) Open up the file dosbox_quake_conf
2) Scroll down to [cpu]
3) Change "core=auto" to "core=dynamic"
4) Change "cycles=fixed 60000" to "cycles=max"
This will probably make quake run too quickly at 320x200 resolution, but if you increase the resolution this problem disappears and you can play at reasonably high resolutions at a decent framerate.