I download the soundtracks from GOG but I can't play them.
It seems like they did not download correctly. I can see the folder and the songs but I am not able to listen to them.

EDIT. Shouldn't they be in ZIP file? As for me they downloaded in such file which I extracted and enjoyed the music.

Windows has integrated zip support and opens zip files like directory's.
In my experience opening files from within a zip file isn't always as fluently as opening files from within a directory. Especially when you want to open multiple files or browse through files with for instance a picture viewer.
Unpacking the zip file solves that issues.