You're missing a sound file called a.wav (.wav is the file extension, so it's really just named a). I don't know why the game would look for it, but just go into your scenario's folder, make a folder called sounds, then a folder inside that called build, then go back to the main Civilization III folder and go to sounds, then copy any sound and paste it into your "build" folder, and rename it a . It might be easier to do this in your main Civ3 folder though, in which case you don't need to make the sounds and build folders as they are already there.