First go into your ESF folder, then Sounds, then check and see if there are files in the character folders like Vegeta, Goku..ect. Then check the weapon folders, make sure there are .wav files in there as well.
If there is, make sure you've updated your sound card/onboard drivers, try toggling the Sound Quality in the menu. High Quality is preferred. Try turning off EAX, especially if you've got some low POS card
Make sure all your speaker plugs are in tight. Uhm.. hell might as well update your Directx and Video drivers while your at it. Make sure you disable onboard sound if you have a Sound Card installed. I dunno what else... Uhm, if that doesn't work, come back with your system specs. Your OS, Hardware, stuff like that. Are you using the playlist editor? Are you listening to Mp3's while you play?