Install the three things here (
http://www.lucasforums.com/showthread.php?s=&threadid=79875) 
 Vdmsound mode:
 Click setup
 Select Monkey Island 1
 Click Browse
 Select the folder where the monkey.000 and monkey.001 files are.
 Select Monkey Island 1 on the main screen, click start. 
 ScummVM mode:
 Select Monkey Island 1 from the list
 Click Browse
 Select the folder where the monkey.000 and monkey.001 files are.
 Sound mode - select adlib
 Graphics filter - whatever you want
 Tick - write scummvm.ini if you want to save the settings
 Click run