Unfortunately you will only be able to get the sound to work in Windows 95/95/ME. And that is only if your sound card happens to have DOS drivers.

It is possible to play JJ1 in 2000/XP with sound, but you need to download a DOS emulator.

DOSBox A good DOS emulator - One most of the community uses to play in 2000/XP.

I don't think you need to apply the TPPATCH that Fl@sh suggested for DOSBox. If you get an error then apply the patch.

How to get it to work in DOSBox:

After you install DOSBox open it from the Start Menu.

Make note which IRQ and DMA channel DOSBox makes SB16 emulation on. Those will be the numbers you want to type into JJ1 setup.
When DOSBox has finally opened all the way and gets to X:\> with a blinking line:

Type: mount c c:\ (Enter)

(If JJ1 is on a different drive that C type the appropriate letters)

Then type: c: (Enter)
Then: cd\jazz (Enter)

It sounds like you already tried running the setup program. Just to make sure your settings are correct we'll run it again:

Type: setup (Enter)

The setup program opens. Push enter on the selection "Choose Sound Card" or whatever it happens to be. Choose "Sound Blaster 16 or compatible". Then choose "High Quality Sound (Pentium)". It will then ask you what your sound card's IRQ and DMA channel is. Enter the appropriate numbers you recorded when DOSBox was opening. Save and Exit the setup program.

Type: jazz (Enter)

JJ1 starts. Using the SHIFT+F7/F8 increases or decreases the FRAME SKIP, and SHIFT+F11/F12 increases or decreases the CLOCK CYCLE. (I might have those switched around. The bar on top of DOSBox shows which numbers you're changing.) Adjust those settings until JJ1 runs smoothly.

Enjoy.