Two main things can cause similar, though there are other ways to have it start. The main cause for some people is "shelling-out" to Windows by using the <Ctrl> or <Alt> <Tab> key combinations, or just using the <Windows> key. SH4 is an old WinXP game, and 'modern' versions of Windows now "lock" the audio stream. If you shell-out, the audio stream can get either confused, muted or "stuck" in a loop. The second way an audio loop can occur is via "mod soup", where you load a Saved game, but it is from either a previous version of SH4, or was made when there were different mods activated. Sometimes, that results in incompatible files residing in the game.
In the first case, a re-start of the game will "filx" the issue, or sometimes via the way rein1705 mentions, though you can sometimes end up with a mostly mute game. All computers are different, and some people can shell-out and never have an issue. Others can use a "Windowed" mode with the game and have no issues. If you're like me though, if you sneeze too hard, you might have to re-start the game...
In the 2nd case, sometimes just eliminating old Saved games will work, sometimes avoiding loading them works, and other times, you have to do a fresh install and empty the Saved game folder (My Documents / SH4). Again, it depends upon your computer...
A third way is by running The Museum and then running the game. For whatever reason, it seems that The Museum does not release everything back to Windows and the game's menu when it is exited...
