Some of the sound files may not have downloaded correctly when you originally downloaded the game from Steam. To resolve this issue, simply open up the Steam application and then go to the "My Games" tab. Highlight Dark Messiah Might and Magic Multiplayer and click on Properties at the bottom right hand corner of the screen. A properties window should come up, choose the Local Files tab at the top. Click on the button that says "Verify integrity of game cache..."
It should scan for a few minutes then download the missing sound files to fix the problem.