I can't figure this out for the life of me... Serious Sam The First Encounter.

Whenever I shoot a gun there is a missing blast effect, (the bang out of the gun) , this works fine on my windows 8 laptop, but not my windows 10...

Is it a compatibility issue or just is it just Windows being Windows?

It's a directx8/8.1 problem, all games that use dx8/8.1 are forced in a borderless windowed mode and have some serious problems (stuttering for example, or artifacts)

Try to set opengl mode and check video driver