Having looked around there is the old way: save the files (BMP, OGG and OV2 files) in the map folder.
The new way for some Navcores is to put the OGG in the sound folder (which should be in your root directory). The other thing is that all files have the same name.
It seems different versions of Navcores handle sound different. Since I have a 20Gb drive I am doing both. Will test and then remove and find out whch works for my Navcore.
If it doesn't work in the same folder as the .ov2 and .bmp file try it in the "Program Files\Navigator\Sounds" folder.
In the Preferences select Manage POIs then Warn near POI. Select which ever POI you wish to use the sound with, set it to warn, then the required distance and then the sound file you place placed in the sound folder.