Well, there's no install/setup exe anywhere, so I have no idea how to change the soundcard or joystick settings.

The sound is not even on soundblaster quality - I guess it's set to adlib which sounds just terrible. So any help with that would be appreciated.

Unfortunately the game's configuration can only be done by the original installer. It creates a file WINGCMDR.CFG (and CRUSADE.CFG for the expansion) which stores the configuration. If you'd have to change something, you'd have to re-run the installer. GOG's version is a pre-installed version of the game, combined with a DOSBox environment to run it in. The original DOS installer is missing.

What you can do is finding out how the cryptic storage within the CFG files works and edit it with an hex-editor (there are some threads about it here). Or you replace GOG's configuration with a new CFG file, that already stores your preferred settings.

Here is a guy providing a guide and files to run the game with midi sound:
http://www.wcnews.com/chatzone/threads/complete-wc-gog-fixes-and-tweaks.27176/

I already found this but I don't want to install a midi wrapper just for this game and using a hex editor is way too inconvenient. Also I know for a fact that in the original you can use the install.exe to change the sound settings without installing it again.
So I guess I'll ask for a refund - this version is missing out features and I don't find that acceptable.

I just fiddled a bit with the CFG file and when you've got a working standard midi output configured in Windows, changing the following will make WC use midi:

- Open WINGCMDR.CFG with a texteditor
- Replace a904 with R
- Save and run the game.

For the expansion, do the same with CRUSADE.CFG

Problem: If you haven't got a midi device supporting Roland MT-32, but GeneralMidi standard, the weapons sound like instruments, because the standards are using different sounds on the same position and MT-32 supports reprogramming of sounds. To get it right, you'll have to install a full MT-32 compatible midi device (or emulator like MUNT) and use it as standard midi device in Windows.

EDIT: GOG's current configuration is SoundBlaster by the way.