The lazy option is to use a capture card while the game is running.
The more involved option is to find out how the game stores its sound. Generally these are going to be in resource files, either by themselves or combined with other data like graphics or textures. Find out how these files are packed and then use a unpacker to extract them. Most of the time an unpacker will be available. If not, you'll have to analyze the pack data's header and structure to reverse how the packing is designed.
Hellbound Hackers is the collective work of the staff and the community and is therefore licensed under the CC BY-NC-SA license.