Most of the sound devices are capable of existing inside the same computer at the same time, so when configuring DOSBox sound you need to think of them as separate devices that can be enabled or disabled. Thankfully, DOSBox can emulate all the most popular sound systems of the DOS era, so one can usually find something that sounds good. Also, different devices supported different features, resulting in games that could sound very different (maybe high-quality music on one card, but voice-acting on another) depending on the hardware available. And the game had to be configured with the memory addresses of the hardware by hand. If a game did not support a user's audio hardware, no sound was possible. Software had to include separate support for each sound device it wanted to give the users the option of using.
Unlike Windows, DOS did not keep a list of the system's sound devices, nor did it expose generic drivers for them. Sound was sometimes difficult to set up in the DOS era. By emulating the hardware the user can utilize whatever audio device they have installed in their PC, while the DOS Game or Application believes it is running on the emulated hardware.
If you unpack the archive to c:\dosgames\windows, you are doing it wrong because the package already contains the required directory structure and will give an error message like the one you described.DOSBox is capable of emulating several sound devices. If you unpack the archive to c:\dosgames, mount that as the C drive in DOSBox and then enter windows, the package will start correctly. Let's assume you have a c:\dosgames you are mounting as the C drive in DOSBox. But he is right that this is a likely cause.