VMware Workstation emulates a 'Creative Sound Blaster Audio PCI' sound card. Windows 95 & 98 don't have the necessary drivers to support this card out of the box (Windows 2000 and later have no problem).
I've checked Creative's website for an appropriate driver but have been unable to find one (for the moment ;)). I'll search around and see what I can come up with.
For the time being
here is VMware's explanation of the problem.
EDIT: Apparently the 'Sound Blaster PCI 128' driver should work. You can download it
here. Hope it all works out for you.