Without buying a new sound card, the only way I have gotten this to work is by downloading and installing Virtual Audio Cable, which can be found
here. You can use that in conjunction with each game. Someone here in the forum a few days ago got Stay Tuned for Danger working via this method. This is also how I got the games working on my computer.
Some people don't get this message when trying to run the games; others do. I guess it depends on the sound setup on your computer.