From the FAQ on that site:
How do I install a new Sound Set?
Grab StuffIt Expander 6 (or anything version 5.0 or later, free) from Aladdin. After you download a Sound Set, decompress the archive using StuffIt Expander (unless your browser launched Expander for you). The Sound Set's icon may be that of a plain document. Just grab a copy of Toggler to see if that corrects the problem.
This is where stuff gets a little complicated. In Mac OS 9, if you've got a "Documents" folder at the root level of your hard drive, peek inside there to see if a "Microsoft User Data" folder is living there. Odds are, a folder for your Sound Sets will be in there (for Entourage, it's called "Entourage Sound Sets"). In Mac OS X, this Documents folder is in your Home directory and you will place Sound Sets there.
However, under Mac OS 9, if you don't have a "Documents" folder, then your Sound Set folder could be located within the application's folder itself (particularly true for Outlook Express) or goodness knows where. We recommend using Sherlock and searching for one of the pre-installed Sound Sets. One of the results will be a Sound Set in the proper folder. Please, don't email us just cuz you can't figure it out. It's not that tough...
Once your Sound Set is in the proper folder, launch or switch to Outlook Express or Entourage and choose "Preferences..." from the "Edit" menu (the keyboard shortcut is command-semicolon).
Click on the "Notification" tab and select the Sound Set you just installed from the popup menu near the bottom. You can click the speaker icons to listen to the sounds and use the checkboxes to individually enable or disable them. You do not need to relaunch Entourage or OE for Sound Sets to become activated.
You're done! Enjoy.