If you're trying to run the Windows version of BC that you can get off of this site, you're SOL. The Windows version can't run with sound. It has something to do with the fact that it was made for Windows 3.1, and needs something that XP doesn't appear to have.
For the DOS version (any DOS version of the BC series really), you can just run it in DOSBox. DOSBox will handle the sounds just fine.
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