Certain route require what is called Objects and Sounds. Those are needed in order to load into the train simulator and run during the simulator. Certain routes use Objects and Sounds from multiple folders. You need to make sure those sounds are installed. After that there should be know problems.
For the openAL problem:
Open up the oalinst.zip. Then Run the installer.
The other folders such as tao.zip, and SDL.zip you just open them up and copy everything into the extracted openbve_stable folder. Extract the openbve_stable.zip folder before dragging anything into it. You should be fine after.