Actually, the best method I’ve found with this is.
Do not use the “uw.bat”, you want to use the “uw.exe”. You have to go into the UW directory twice. “Ultima Underworld/UW/UW/uw.exe” and then use the “Ultima Underworld/UW/UW/uinstall.exe” for sound.
Also for ANY GOG game, ALWAYS use the “.inst” file and NOT the “.gog” file when using the CD. Bizarre, but I’ve had NO issues with this method.
Edit: Oh yeah, UW1 doesn’t need a CD. So don’t worry about it. the UW.exe will get you playing in no time.