3D sound is unsupported on modern systems. As the in-game implementation is quite buggy and causes crashes even on systems with 3D sound support, the feature has been removed from the GOG and Steam versions.
Install the DirectX End-User Runtimes.
Install the nGlide wrapper. Many users report this as an inferior solution to updated native drivers or DirectX, but if for whatever reason OpenGL doesn't work, this is an option.