There's a pincgf.exe in the game's Steam folder. It allows you to turn off all sound, both music and sound effects. Sadly, there are no separate options for those.

Configuration Utility Volume Control
Worms Pinball uses the default system audio mixer to manage the volume settings of the sound effects and in-game music. If values are changed manually through the audio mixer or through other applications, these may have to be reset to acceptable comfort levels before playing the game. If necessary, the volume can be adjusted while the game is running by using Alt-Tab to switch to the desktop, and then double clicking on the speaker icon in the lower-right corner of the task bar. To switch back to the game from the desktop, either click on the Worms Pinball button on the task bar, or use Alt-Tab to select the Worms Pinball icon.

And

The Worms Pinball CD audio tracks will not be played if the CD audio volume slider is set to minimum prior to launching Worms Pinball. The Worms Pinball CD is still required to play the game.
*This may not work with a Gravis Soundcard, see the note on Gravis Cards below.

I think it's work even without CD ;)

Bit rubbish, innit. I used to go to bed after playing this as a kid, with that music going round in my head. Arrrgh