I'm not sure if it works the same for the CD version as the Disk version, but you cannot have sound with the CD game - the Sound (.sou) file is too large.
However, you are only missing out on sound effects, as even with the disk game you get no music.
I will presume you have already installed ScummVM, so will carry on:
Oh - Use the sc132mhz program file - The other one overclocks the GP32 and can damage it!
I have installed the files in a folder called SAMNMAX - This is under the "Game" folder in the root of the GP32.
I have basically put all files in the SAMNMAX folder - In your case, do not put the sound file on the GP32 as it won't fit! (You really only need the .000 and .001 files, but the others do not take up that much room.)
Then run ScummVM and click on Add Game. Browse to the folder (Just the SAMNMAX folder) and click on Choose... Then just click on Okay. It should already show the name of Sam & Max... Then you are done.
To run the game, click on the name "Sam & Max" and then click on Start, or double click on Sam & Max... It should now work okay.