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It says to run Set Up to select Sound Devices but I didn't have any luck with that. There are sound files somewhere but I'm not knowledgeable on that. This is how it worked for me:-

If you have VDMS already, right click on the executive file & choose "Run with VDMS" It automatically opens a Dos Window & game starts. When you want to play the game again, you can double click on the Icon which shows as a Command Prompt on a blue background (called just "Veil") and game opens again full screen. Esc. takes you out of initial sequence I think & you can choose to new or saved game.

Hope this might just help, 'cause sound is good (Also did you try F9 to toggle sound?)