sometimes on the Dark War start-up, the game takes me to a setup menu. I left it immediately to avoid changing something I didn't want changed and clicked "Yes" to save changes because I hadn't MADE any changes. when the game ran properly after that, all of the music refused to play and I can't change it back.

all sound effects like enemy dialog, weapons fire and menu selection effects still work though.

I was only able to fix it by reinstalling and therefore losing my savegames. (and I was on the first boss battle with El Oscuro too >:( )

I have the same problem. When I started the game it took me to a setup menu and I didn't want to mess with it and now there's no music and I don't know how to get it back.
I don't want to uninstall it because I don't want to risk loosing all my saves and I'm playing on hardest difficulty and currently are at E2M7.

You should be able to save your save game folder and replace it after you reinstall. Just copy it to a different folder, then copy it back to the folder it should be in once you've reinstalled.