I thought I would post here to pass along a bit of info I've gained researching problems with audio in Supreme Commander.  The support forum at GPG provided some help, but a lot of the posts had solutions all over, so I wanted to post my issue and resolution:

Problem: When playing Supreme Commander, there is no sound at all- not during the intro screen and none anywhere else

Solution(s):

• The fix for me was downloading the DirectX Redistributable-

http://www.microsoft.com/downloads/details.aspx?familyid=2da43d38-db71-4c1b-bc6a-9b6652cd92a3&displaylang=en

I found this odd, because the redistributable was for DirectX 9, and since I was running Vista that shouldn't be needed, right?  Wrong.  If anyone has an explanation, I'd love to hear it.

• The other major common problem is that if you have your sound settings for something other than 2.1 or Stereo (so 5.1 or 7.1 for instance), that can cause a lack of sound, too.  Changing it to Stereo sound in the Control Panel should fix that.  I didn't have this problem, but thought I would pass along the quick fix.
  

Hope this helps anyone else frustrated by the lack of sound.  Now I can try playing the game!