This happens if you don't unpack the zip file or if HexBattles1942.exe is not located in the same folder as data.
I did both of those things and it throws that error. Win 11.
Maybe OpenAL32.dll is missing on your system?
It comes with Windows.
I search for a youtube video for you. Check it.
That was it! Thank you! Checked the game out - very cool, looking forward to its future development. Thanks again
Glad that it works. Have fun.