I'm quite sure GOG uses emulation to create a virtual CD-Rom with which they play the music.

This makes sense since most older games came on CD-Rom and GOG does not distribute their games on CD-Rom. So the copy-protection schemes that used/accessed the CD-Rom would need the virtual CD-Rom.

The only ways I know you can get music with a native install like you have are:
1) Use the cable between your CD-Rom and Sound Card like this post details.
2) If your CD-Rom has output jacks, you should be able to use those to output from the CD-Rom directly to speakers/stereo tuner etc.
3) Use a CD-Rom emulation tool like Deamontool and create a virtual CD-Rom drive.

KGB