It seems the solution on this forum for music problem on Windows 10 does not work for me.
But I found this DxWnd tool that works perfectly for me.
You can find it on the sourceforge (Can't post link now, just google DxWnd)
You don't need to install it, just extract it to some folder.
After you start the tool, set the option to use expert mode.
And drag and drop the europa.exe in EU1 folder to the tool's window.
In the sound tab, check the option to emulate CD soundtrack.
Then delete winmm.dll from the EU1 installed folder, start the game and DONE!
That works for me and the music will be played on Windows 10 again.
Bonus is that now you can play EU1 in windowed mode
I do not believe this! THIS IS THE SOLUTION. It really works for me, so now I can enjoy the game with background music! Thank you very much!