Yes, you must load the Dos drivers for your sound card if you are to hear sound while playing games in DOS. I'm trying to find this great site which explains all about Dos and the setup for the config.sys and autoexec.bat. Will post a link as soon as I can.
EDIT:
Btw, the drivers for your sound card will be on the CD that came with your card. You just install them onto your hard drive and point the way to their location in the autoexec.bat. This is the line that refers to the location and name of the DOS sound card drivers file in my autoexec.bat:
C:\PROGRA~1\CREATIVE\SBLIVE\DOSDRV\SBEINIT.COM
Usually this line appears automatically when you install the Dos drivers onto your hard drive.
Here is the link to the site with extensive help:
http://www.computerhope.com
and specificially for DOS:
http://www.computerhope.com/msdos.htm