I have tried changing the sound settings in the menu but nothing happens. In fact, the game music keeps playing even if the volume control is set to 0!!!

The games does have fx and voice?

How can I get them to work?

Assuming you haven't done something terrible to the dosbox conf file, you can get audio by going to setup -> sound and choosing the following options:
Card: "SoundBlaster Pro"
Port: 220H
IRQ: 5
DMA: 1
Frequency: 22 KHz (this will give you the best audio quality, though 11 KHz will work too)

Then just hit "accept" and "save." If you can't hear clicks when you move between items in the main menu after this, there's something wrong. Check your dosboxWRF.conf to make sure it didn't get screwed up.

I'm having the same sound problems too. Both the sound effects and the music are not working. Tried the settings you mentioned but it did not fix the problem. I'm using Windows 7 64-bit.

Update:
I tried changing the sound frequency from 11 KHz to 22 KHz over and over and I think I got the music to work during a race. But the music still won't work at the menu screen.

may try that. Wonder if it has midi? Can you hear the lights on beginning difficulty, stage 1.