In the start menu you have a program called EU2 settings or EU2 Config, something like that. That is the prgram that you use to adjust the Music on/Off and the game resolution.
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That would be your problem then. 
You should have lots of MP3 files.
I would reinstall the game.
You should have lots of MP3 files.
I would reinstall the game.
You are the only one reporting it here. And it would be a very noticible bug.
The work around for you would be to install then copy the music folder to another directory, then patch then overwite the music folder with the copy you made.
The work around for you would be to install then copy the music folder to another directory, then patch then overwite the music folder with the copy you made.