Sound, voice and music are integral to most films and/or film viewing experiences. Even the earliest silent films were often shown with live musical accompaniment. Sound enhances the imaginary world, it can provide depth, establish character and environment, introduce a new scene or cue the viewer to important information.        Source: http://collegefilmandmediastudies.com/film-sound-and-music/

How sound can build a story- Many kind of sound have direct storytelling role in film making. Dialog and narration tell the story and narrative sound effects can be used in such capacity too, for example to draw the attention of the characters for an off screen event. Such direct narrative sound effects are often written into the script, since their use can influence when and where actors have to take some corresponding action.                                                                                           

Sound has a subliminal role. Sound is working on its audience unconsciously. 
While all viewers can tell apart the various objects in a picture – an actor, a table, the walls of a room, listeners barely ever perceive sound so analytically. They tend to take sound in as a whole, despite it actually being deliberately constructed from many pieces. 

Herein lies the key to an important storytelling power of sound
The inability of listeners to separate sound into different parts can easily produce ” a willing  suspension of disbelief” in audience, since they can not separately discern the function of various sound elements. These factors can be manipulated by filmmakers to produce a route to emotional involvement in the material by the audience 

The most direct example this effect is often the film score. Heard in isolation, the actual score played with the film often do not make much sense. The music is deliberately written to enhance the mood of a scene and to underscore the action not as a foreground activity, but a background one. The function of the music is to “tell” the audience how to feel, from moment to moment: Soaring strings mean one thing, a single snare drum, another.                                                               Source: http://filmsound.org/articles/roles_of_sound.htm