I'm unsure of the technical aspect to this issue, but the game utilizes some component of Windows Media Player, or at the very least built-in (or, they used to be default/built-in) audio functions which are tied to the legacy WMP system calls. These could have been disabled at some point via an update to Windows, a "debloating" script, disabled by default, or some other reason; I have no clue, but it's the issue with this game on newer versions of Windows.

If you are running an "N" version of Windows 10, you will need to separately install the media feature pack[support.microsoft.com].
You can find your Windows version by running winver from run.exe (see below for details on how to open run). Find out which version of Win10 you have, and download/install the applicable pack for your version of Windows.

For everyone else, or after you've done that:

• Press Win+R to launch run.exe (or press the Start menu button and type "run.exe")
  
• Enter "optionalfeatures.exe" into the input box
  
  
• Press enter or click OK

• "Windows Features" will run and begin loading
  
• Find "Media Features" and expand the menu
  
• Check the box next to "Windows Media Player Legacy (App)"
  
  
• Click OK
  
• You will see a new window with a progress bar, this may take a few minutes
  
• Once it says "Windows completed the requested changes" click close
  

• Run Cthulhu Saves the World

Unfortunately, I didn't need to do more than this to get the game to load; not even a system reboot.
If it still crashes for you, I'd recommend trying out the .exe compatibility options built into Windows.

Right-click the game in the Steam library, and under "Manage" click "Browse Local Files"


Once Windows Explorer launches and loads, right-click CSTW.exe and click "Properties"


Click the "Compatibility" tab and you'll find the available options


I would recommend testing out the actual "Compatibility Mode" setting before the others, but play around with them to see if you can get it working on your PC! If you have to do this step and manage to get it to work, please comment so others can know as well!