Win 2000 is about as bad as you can get in terms of compatibility (unless you're a Mac-er. In which case we'd have to kill you.) Either Win98 or WinXP would be your best choices when running FreeSpace. IIRC Karajorma's FAQ specifically warns you about running FS1 on Windows 2000.
If your system can't find openAL32.dll, I doubt it's a hardware or Windows problem. Most likely, OpenAL didn't get installed correctly, somehow. What Win2000 will do sometimes is put your DLLs in the wrong directory. All I can think of is to do a Search, look for the .DLL you're missing, and make sure it isn't somewhere wierd.
Also, if you really, really want to run FS1, go to a thrift shop and buy a cheap Win 98. But this is largely pointless, as FreeSpace Open now has the FSPort. This comes with the Installer you have and is basically FS1 ported to run under FS2.