I have a similar problem.
In Dev-C++ the missing files are: \src\client\snd_ref.c, \src\client\snd_mix.c, \src\client\snd_loc.c, \src\client\snd_ogg.c, \src\client\snd_ogg.h, \src\client\snd_wave.c, and \src\client\snd_wave.h. UFO.EXE won't compile of course.
In Code::Blocks, it stops at "#include <SDL_mixer.h>", and I get these errors:
:: === ufo, windows ===
D:\UFOAI SC\src\client\cl_sound.h:32: SDL_mixer.h: No such file or directory
D:\UFOAI SC\src\client\cl_sound.h:51: error: syntax error before "Mix_Chunk"
D:\UFOAI SC\src\client\cl_sound.h:51: warning: no semicolon at end of struct or union
D:\UFOAI SC\src\client\cl_sound.h:54: error: syntax error before '}' token
D:\UFOAI SC\src\client\cl_sound.h:54: warning: type defaults to `int' in declaration of `sfx_t'
D:\UFOAI SC\src\client\cl_sound.h:54: warning: data definition has no type or storage class
D:\UFOAI SC\src\client\cl_sound.h:58: error: syntax error before "Mix_Music"
D:\UFOAI SC\src\client\cl_sound.h:58: warning: no semicolon at end of struct or union
D:\UFOAI SC\src\client\cl_sound.h:61: error: syntax error before '}' token
D:\UFOAI SC\src\client\cl_sound.h:61: warning: type defaults to `int' in declaration of `music_t'
D:\UFOAI SC\src\client\cl_sound.h:61: warning: data definition has no type or storage class
D:\UFOAI SC\src\client\cl_sound.h:68: error: syntax error before "sfx_t"
D:\UFOAI SC\src\client\cl_sound.h:70: error: syntax error before '*' token
D:\UFOAI SC\src\client\cl_sound.h:70: warning: type defaults to `int' in declaration of `S_RegisterSound'
D:\UFOAI SC\src\client\cl_sound.h:70: warning: data definition has no type or storage class
D:\UFOAI SC\src\client\cl_actor.c:: In function `CL_ActorDoThrow':
D:\UFOAI SC\src\client\cl_actor.c:2771: error: `sfx' undeclared (first use in this function)
D:\UFOAI SC\src\client\cl_actor.c:2771: error: (Each undeclared identifier is reported only once
D:\UFOAI SC\src\client\cl_actor.c:2771: error: for each function it appears in.)
D:\UFOAI SC\src\client\cl_actor.c:: In function `CL_PlayActorSound':
D:\UFOAI SC\src\client\cl_actor.c:4121: error: `sfx' undeclared (first use in this function)
:: === Build finished: 11 errors, 8 warnings ===
Trunk 12234
Win XP SP2