OK we all know that by default theres no music in this edition ,but this tutorial will tell you how to enable it

HOMM1
Insert dvd1 with homm1&2&3 into your dvd drive,now go to windows explorer and go to your dvd drive mine is d: (by default) here you will see a folder named heroes,copy the entire folder to your hard drive.
Now eject the DVD and input a blank CD,then use your CD burner and burn the content of the entire folder Heroes(not the folder itself but whats in it)to the CD. After you burn it eject and reinsert the CD if done correctly you will get the autorun screen for HOMM milenium edition and thats it If you start the game you should be hearing the music

HOMM2
The burn method doesnt work here What you need to do is to enable the music in your windows settings.
Go to start-settings-control panel here find an icon that says sound and audio devices, when you open it you can choose volume,sound,audio..etc.
Go to audio and here on the last option you have
MIDI music playback and her select Microsoft GS Wavetable SW Synth once selected click apply and
OK. That should enable midi music in HOMM2(yeah I know that it isnt CD music but better something than nothing) (Note: this has been tested on XP 32&64 bit I dont know if it will work on vista but I think it should).
Sorry about the gramar English isnt my native language.