Check the game preferences -- perhaps Sound effects were turned off.
Check other obvious things such as "does any sound come out of my speakers, even in different programs?"
OP2 uses DirectSound. If many normal applications play sound okay but OP2 and other games (as well as some applications, eg. multimedia apps like MP3 / video players) are having problems, something might be to do with your Directsound configuration. Try reinstalling DirectX if that's the case.
If it still doesn't work, there's the very rare chance that your soundcard drivers don't support DirectSound (although it'd have to be a very old card). Make sure the correct drivers are installed for your card.