I realized that while it's totally obvious for me how one of those CDs worked and Wikipedia spells it out, it might be hard to grasp if you don't know the circumstances.
So let's go back to '94. If you weren't there, just imagine a Stephen King level power outage. There were no mobile phones. There were no mobile computers. If you were lucky and had a computer, there was a good chance it actually was your parents' and you were allowed to use it when they did not work. Your parents' computer and your friend's parents' computer were not compatible in any way. But that did not really matter, because there was no way to connect the two anyway, other than physically wrestling one of them to the other place and plugging a connection cable into both. Although that would have required both to have a network card and they had not, why would they?
A nice roleplaying evening would be 5-8 kids around a big dinner table, lights dimmed, books piled high, dice, chips and coca cola on the table. Pizza for dinner. Lots of pencils, erasers and notepads all around.
There were no mobile phones. No PDFs of books. No iPads or laptops. You wanted to look up your to-hit-bonus? Sure, just after Jake finished looking up his stuff, because there only is one book and he's thumping through it right now.
Today you may have a mobile phone, a set of bluetooth speakers (available from online retailers for a few bucks) and you just googled "dragon flying by breathing fire audio" and downloaded the first 10 hits, picked the best and played it to your friends at the table later. In '94, that was triple-impossible. Mobile phones (the computers we know today as phones, that allow us to place calls as an afterthought) did not exist. The internet was an obscure thing where you might go to your friend's parent's company and spent 4 hours downloading a new graphics card driver onto 5 floppy disks, one of which would inevitably get damaged in your backpack on your bike or bus ride home, so you would do it again next week. Google? Did not even exist for another half decade.
Sorry for rambling a little, but it's hard to understand the full impact of something back then, that today is so much part of our everyday life. We are used to take whatever audio we want, to wherever we want, ready to be played any time. '94 was way different. You had a Walkman. And the one cassette tape you liked best in it. If you wanted to hear a specific piece, you had to fast forward (or rewind) to it. No skipping, no picking. That's it.
So yeah, the default setting was kids around a table with nothing but books. No audio. If you wanted audio, it would be up to the DM's acting skills. Imagine a kid acting out a dragon breathing fire? Yep. That level of acting.
Answer to your question
So in this light, lets look again at what the CD offers:
The CD starts with a long track that introduces the idea of roleplaying. The narrator helps a group of young gamers act out a brief roleplaying session.
That's basically the Player's Handbook's introductory section, but read by a professional voice actor instead of roughly paraphrased by a kid who wants to go on playing.
The adventure text directs the Dungeon Master to play certain tracks at various points to reveal clues or enhance the atmosphere.
So if you have a book adventure today, there are those boxes the DM is supposed to read to the players. Just with the CD, it is a professional voice actor that will play it out, maybe multiple actors, with background music and sound effects. A dragon flying by, a creaking door, a creepy voice.
That is what a CD offers: professional voice acting with background sounds, comparable to today's books and audio books.
You may ask "but they had music before, what changed?" The real change from cassette tapes and vinyl records to CDs was the ability to freely skip and select any track you want. Adventures are not streamlined. Your player may pick door #1 or door #2 and you want to play track #1 or track #2 at a moments notice. CDs made that possible (although early CD players might not conform to today's expectation of a "moment" looking for the right track).
With a CD you could pick your music just as players picked their adventure.