Are you shutting down all non-essential programs (especially anti-virus) before starting the game?
Have you checked for updated sound drivers, etc?
If you go into the sound options and change the volume levels for voice or sound effects, do you hear the sample sound played? You should at least hear the voice.
Try deleting the '..\Divine Divinity\Run\sound.cfg' file (or in the download version, probably '..\Divine Divinity\sound.cfg'), to have the game recreate it the next time you start the game and change the default sound levels.
If you run dxdiag (click Start | Run, type in dxdiag and hit Enter ; I'm assuming the procedure is pretty much the same in Win 7), does it report any problems? There is a test on the Sound tab, which will try various sounds using software and hardware buffers, and ask if you heard them.
Also on the Sound tab, try lowering your hardware sound acceleration a notch, and if that doesn't help (it did for someone using XP that got sound effects but no voices or music), try disabling it completely.
