Daniel Saner (2963) on May 16, 2011
In the directory where you installed the game, there is a subdirectory with the ScummVM interpreter. Run scummvm.exe on its own and enter the Options menu. There are some audio and MIDI options to play around there, maybe you can find something to make it work. You have to start the game from the ScummVM interface then though, otherwise it will just use GOG's default configuration file again.
If I remember correctly Lure uses just some MIDI notes for sound effects. So if you hear nothing at all, my guess would be that ScummVM tries to use the standard MIDI synthesizer provided by Windows, and that one doesn't work for some reason.
Edit: it sounds stupid, but make sure there really isn't any sound and it's not just a volume problem. I have just tried it, the default is in fact the Windows MIDI Synthesizer which on my system is incredibly quiet. I have to turn up my speakers to 2-3 times the normal level to hear anything.