There is a directory in the game with the CD tracks, but they are not played in the game. Does anyone know a solution?

Renaming WINMM.DLL does not work.

My system: Windows 10 with Asus Xonar Sound card

Found the solution. The WINMM.DLL which comes with the game does not work with Win 10. You have to download fixed_winmm_win10.zip (google it).

Still not perfect, sound effect sometimes don't play.

Thanks! This worked for me.
The file is linked from PC gaming wiki for a few games (its on github here: https://github.com/bangstk/ogg-winmm/releases/tag/v1.1).