Need help with SFX for characters

[darkmvr]

So im kinda new to all this hacking or modding watever you call it. Got lots of characters now because of this amazing site but for example i now got goku with his own moveset and all but i am trying to give him his own sounds so he says: kamehamehaaa! :P

But if i download it i get lots of was files and for kid buu even like 30 or 40 sounds files another download gives me goku.sawnd file (just 1) so you probably get it when a nooby like me gets confused of this but im busy with this alot of days now and would love to make these sounds work so wat do i do wat map do i put them into or wat program must i use for this?