You can turn the sound off or on in the exercises by tapping on the pause menu at the top and tapping the slider under "Turn on sound" to activate or deactivate.
Why don't I hear any sound?
If you can generally hear sound on your smartphone, outside of NeuroNation, then it is possible that the sound is turned off directly in the exercise.
You can check this by starting an exercise and tapping on the pause menu at the top and checking if there is a check mark in the "Turn on sound" box. If there is no check mark there, you can turn the sound back on by tapping once.