Missing OpenAL32.dll problem seem to be common problem with many software.
First how the solution can’t be solved: At least in 64-bit Windows 10 grabbing just OpenAL32.dll and registering it to system with regsvr32 doesn’t work. There are some bad solutions to solve this problem. The best solution is simply grabbing the missing dll from http://www.openal.org/ and install it with the official installer it comes with.
In general, if one is missing some software component, it is best to find the official website of the missing software component and hope for the best.
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This is how to fix the problem when setting up Monkey X installation, too.