You can just go to the sandbox drive right click on the downloaded exe > Scan with Anti Virus.
Is that 95 game DOS as you can use DOSBox.
Or right click properties Compatibility > Win95
or try and change the sound card in VM to SoundBlaster or something else.

or in XP you might of been here and done that:

Sound in a Windows XP or Windows .NET Server Guest

Click the Printers and Other Hardware link in the Windows XP or Windows .NET Server Control Panel (Start > Control Panel).

In the See Also pane, click Add Hardware, then click Next.

Select Yes, I have already connected the hardware, then click Next.

In the Installed Hardware list, select Add a new hardware device, then click Next.

Select Install the hardware that I manually select from a list (Advanced), then click Next.

Select Sound, video and game controllers, then click Next.

Select Creative Technology Ltd. in the Manufacturer list and Sound Blaster 16 or AWE32 or compatible (WDM) in the list of devices, then click Next.

Click Next.

Click Finish.

or it might work thru one of these
http://vb-audio.pagesperso-orange.fr/Cable/index.htm