This isn't something most people do anymore, I think, but how to do it is still described in the Readme file.
The files you see in your baseset folder there are the set description files, not the actual data.

As people owning the original CD is less and less likely (the game is 27 years old), we stopped suggesting it in the installer. It hasn't been possible for years to legally get a copy of the game anymore.

The README does mention how to set this up. But, ingame you currently can't read the README. There is a Pull Request already to fix that, so hopefully that further addresses this issue.

The instruction online can be found here: https://github.com/OpenTTD/OpenTTD#142-original-transport-tycoon-deluxe-graphics-and-sound-files

Hopefully that also helps you out getting it to work again :) Let us know if you have any further questions!

Thanks for clarification

@TrueBrain
Sorry to tag you but I follow the instructions while both graphics and sound show up but the music didn't. Any way to solve this?

EDIT: Never mind this, I found the solution just move it out to the base directory.