The sounds options are located at the bottom-left of the object properties box.  Sounds are divided into two types : Continuous (Cont.) and Impact.
 

For both options you may use the default sound associated with most every object by leaving the sound options un-selected (NULL).  You may also choose from a wide variety of "stock" sounds by clicking the # button beside the sound box.  Once a sound has been selected, it's name will appear in the box in place of NULL.  Lastly, you can get really fancy and record your own *.wav sounds to use in the game.  To do this, click the "...." button and browse to your file in the same way you would use windows explorer.  Again, the name of your sound file will appear in place of NULL.
 

Continuous sounds, like the name implies, are sounds that do not stop.  You would apply a continuous sound to a railway sign, for example, so that as a truck approaches you will hear the "ding.ding.ding.ding" of the train bell at the crossing.  Another example might be to apply a roaring crowd sound to the mtm grandstand model, so that as the truck approaches you will hear the enthusiastic audience cheering you onward.
 

Impact sounds are the sounds you hear when a truck collides with the model.  Rather than the default thud/crunch sound that you usually hear when your truck hits something, using impact sounds add a bit of flavor to your track.  To illustrate the point, I will use a fun example that a friend likes to include in his tracks.  When a truck hits the barn from FarmRoad29, you can hear the old farmer calling out, "Hey you kids, get off of my lawn!"  Adding sounds to your track can enhance the driving experience.