.. How do I change the settings?

Pull down the menu and click on "Options." Given the age of this game, the settings are very basic. You can't change the volume except to turn all the sounds completely off, you can't adjust the music separately from the speech, and you can't play it in a window. You can turn the subtitles on and off, and you can change the speed at which Rosa walks. That's really it.

I should also point out that on my PC at least, you can't Ctrl-Esc out of the game, tend to something on your desktop, and return to the game safely. If you do, when you come back to it, conversation will whip by in a nanosecond and you'll miss huge chunks of the plot. If you need to check something on your desktop, better to save and close the game completely, then return to it when you're done.