The sounds are included with the normal client download by default (although there are some minimalist clients which do not include them to conserve space) so if you downloaded from the regular download link then you should have them. Try pressing Alt-O to turn sound effects on if you aren't hearing them, or go to the setup program (C:\Program Files\Gravity\RO\Setup.exe or C:\Program Files\Gravity\RO\AnthemRO\Setup.exe).
If you're looking for the actual sound effect files (i.e., you hear the sounds just fine but you want the files to use for something) I think they are in the adata.grf or sdata.grf files and you'd need to use a GRF extractor to get them out (
www.ratemyserver.net has some of those in its Utilities download section).
