Double click your layout screen to add a new object and add Audio - It can only be added once, so skip this if you already have it added.
Under your project tool bar (Usually right hand side of screen) scroll down to Sounds folder - Right Click - Import Sounds - Then load up whatever Sound you want to use from your computer
Under the Event sheet create a Condition - I suggest something basic to test like on Mouse Right Click - Then later you can change the condition to what it is meant for
Add action: Audio - Play - Select your sound
Start the game and give it a test