Apparently, there are a lot of games that doesn’t have sound, when played through wine. When you start the game from a terminal, you will see this from wine:
ALSA lib conf.c:3314:(snd_config_hooks_call) Cannot open shared library libasound_module_conf_pulse.so
ALSA lib pcm.c:2217:(snd_pcm_open_noupdate) Unknown PCM default
AL lib: alsa.c:512: Could not open playback device 'default': No such file or directory
AL lib: oss.c:169: Could not open /dev/dsp: No such file or directory
However, there is an easy fix. The problem is, that the computer running the game is 64-bit and the game is 32-bit. This means that you need to install 32-bit sound libraries for wine to use. In ubuntu:
sudo apt-get install ia32-libs lib32asound2 libasound2-plugins
This should fix the sound issues you have been experiencing!