It's not the SDK you want but the runtime. Although I'd expect installing the SDK would install the runtime (It's bloody ages since I did it myself since OpenAL is now in CVS and I don't need the SDK).
My advice is to delete the launcher6.ini and then see what happens when you run the launcher. If you see a flags.lch file delete that too. I suspect that will kill the error if it's the problem I think that it is.
If it doesn't fix the problem give me the version number of the launcher and FS2_Open (should be 5.5c and 3.6.9). You should also check your Windows\System32 folder and tell me which of the files I mentioned above are present.
You should also wish follow the procedure mentioned here
and post the first 30 or so lines. That would definitely rule out OpenAL as the cause of your problems.
The asteroids problem is a separate issue and is caused by you not having jpg and tga textures enabled. You can easily turn them back on in the launcher once you can get it to work.