You should get certain sounds "out of the box", so to speak. A deep gong when the clock is paused or unpaused, and a beep warning at 60, 3, 2, and 1 second left, as well as the multiple beeps at level's end.
On the Events tab, right-click on any of the Sounds (in the list on the left) and select "Play sound". If you don't hear anything, check: 1) The volume slider on that screen; 2) the volume on your PC; 3) that you have Windows Media Player installed.
If you do hear something when you select "Play sound", then I guess sounds are working. In that case, I'd make sure the Events are properly configured. Your default sounds and events should look like the attached screenshot.