I guess they are all just lazy b's that don't feel like helping you.
You don't say what version of Trainz you have, and the answer varies a little depending on the version. However, in general, sound files should be in the same folder as all the other files associated with the asset concerned.
In Trainz versions from TRS2006 onwards, you would need to use the Content Manager to first get the asset out of the database and open it for edit. Using Windows to open the asset's folders, you should see its .wav files in there, if there are any.
For older Trainz versions, there is no database, all the assets are already in Windows folders within the ..\World folder.
If you are editing the sound files, you need to know what format the file should be saved in - not all 'grades' of .wav files are acceptable. For TRS2004 I know they should be 8-bit mono and preferably not more than 22kHz sample rate. You can go higher than 22kHz, but you are just inflating the size of the file for no gain in sound quality. But refer to the 'content creator's guide' for your version of Trainz (if it has one) or for the version closest to yours.