The Sounds Tab of Edit Options appears as below:
In general, you change a sound by typing its name into the edit box, or using "Browse," which is right below each sound type.
In this dialog box, you can change:
Please note that at the current time, only MIDI (*.MID) and Wave (*.WAV) files are fully supported.
For a good source of sound effects, I would suggest Tintagel Internet Resources.
You can also selectively mute each of these sounds (which means it won't play) by pressing its "Mute" button. If you want to mute all sounds, press the "Mute All" button at the top of the Sounds Tab.