Welcome to CDDA. I suggest you check out my launcher. It makes it easy and effortless to install one of the popular soundpack. After starting the launcher, select the directory in which you extracted your game. Next, go in the Soundpacks tab, select one from the repository and click on install. I suggest you try the ChestHole one. Next, start your game and go to the Settings -> Options menu. In the General tab, look for the Choose soundpack item and switch it to the new soundpack you installed. Press ESC and answer yes when asked to save your settings. Restart the game and you should now be using the new soundpack.
Like Gnorse says you have to download a soundpack to get sound. The basic soundpack does technically have sound but the only sound it has is a ding whenever you move from one option to the next on the opening menu screen.
I’m going to second the recommendation to use the cataclysm launcher, unfortunately it only works for Windows so if you’re using Mac or Linux you’ll want to download an emulator like Wine. The launcher makes it simple to download soundpacks and to keep up to date on new builds.
When you say it doesn’t have sound are you by any chance using the latest stable release instead of an experimental build? As I recall Cooper didn’t actually have sound enabled in the stable it was enabled in a later experimental build. Something new players are unlikely to be aware of is that the experimental builds are the ones you want to be playing, the stable build is years out of date.
When I say it doesn’t have sound, I guess what I really mean is that for the last year to year and a half, all the extra stuff like animations and sounds in the graphical version simply don’t function on my machine. Reported that as a bug way back, but that report dead ended and I never used graphical again.
Also, I guess I should have included that part about needing to DL a sound pack. I meant that by default it doesn’t really have sounds. (other than the menu noises)