Just to add a little more to this topic, because the manual doesn't talk about this at all.
Templar is correct you have to start sounds with a minimum volume of 2, other wise they do not seem to start playing.
This code just fades a sound loop to 100% volume, if you change vol to start at 0 it doesn't work.
Code:
var ahandle;
var vol = 2;
ahandle = snd_loop( fx_weather_sound_wind_calm, vol, 0 );
while( vol <= 100 )
{
vol = min( vol + 2, 100 );
snd_tune( ahandle, vol, 0, 0 );
wait(1);
}