I know, YossiY. I've had many sites where I have wanted to add (what I thought were) cool little sounds and interactivity. The only problem... it backfired on me EVERY time.
Lesson learned: There are other, far more acceptable, and much more attractive ways of adding interactivity to your site without resorting to "sound bits".
So, if you are still wanting to make us all suffer ;)... then here's a basic outline.
1. You'll need the scripts and styles plugin.
3. In your code, you'll want to add the ID into the html of whatever element you want to add the sound clip.