Hi,
Trainz 06 can only play sounds form a HTML asset. You need to use content Creator Plus to make one. Add a string table and type in the sound file name. The sound must be in the HTML asset folder ! After doing this. Create a rule using 'Play a sound file' and find your asset name from the list. Type in the name of the file (don't add .wav as trainz already does this)(the same name as in the string table) and click the tick.
I use a trigger rule so the sound starts when the train reaches the trigger.
NOTE : Sound Format must be .wav . Trainz cannot play a 3D sound, an example is, if you place a trigger, the sound will not play if you are too far away from the trigger!
You can read the bottom of page 62 in the trainz installation file 'rules and sessions guide'.