Same here no music either which is a bit of a pain.
I found the solution,
1. go to X:\Program Files\GOG.com\Call To Power 2\ctp2_program\ctp
2. open a text file named "userprofile"
3. find the line " UseRedbookAudio=No" and change it to "UseRedbookAudio=Yes"
and you should have music in your game
Tried this; it didn't help.
(EDIT: redownloading did help, though. I'd installed it some time ago and maybe it's been patched since then.)