There don't seem to be many options for sound with that game - only background music on/off and volume. I take it you've tried increasing the volume in the Parental Controls scheme. Does sound normally work in your computer (do you get sounds from Windows? - you should get a "ding" if you adjust the Volume using the icon that looks like a loudspeaker in the Task Bar).
You would think that if you get background music you should get other sounds, but it's possible that the background music is MIDI. Try right-clicking on the Volume icon and selecting "Open Volume Mixer" to see if any inputs are muted.
Good luck - I know how frustrating it can be when a kid's toy doesn't work properly.