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Update to W7 or check your audio drivers. Tohou games uses wav for audio, so basically any card made around 2002+ should decode it and this goes for windows own embedded support for this old frequently used lossless codec.

There is really no point in using external audio cards anymore. Decoding audio takes like 1-2% of your CPU if my memory serves right, (or about 10-200mhz depending on the codec used) However you might need one if your like recording stuff and lack a line-in for your guitar, keyboard or whatever your using.

To me it sounds more like you've used nLite or something and removed the embedded driver(s) from Windows which adds support for <insert basic supported audio driver here used by tohou>. Most games usually have their own audio playback supported by the games "whatever it now uses".

TLDR: Some games are using Windows's own audio driver/playback software, and some have their own built-in.