For a light object, there should be an area in the lower left of the object's properties box where you can specify a Sound ID.
To add a new Sound ID which can be selected from that list, go to Gameplay -> Sounds. Press "New," and enter an ID to use for your new sound. On the right, where it says "Sound Filename," click to specify the path to your new sound. When you're done (and after you've set volume, min and max ranges), press "Okay" to close the Sounds menu. Your new ID should now be selectable for the light you're creating.
Edit: Oops, I just realized that the CS seems to want .WAV files, at least from the Sounds menu. If you need to re-encode, I find Audacity to be easy to work with.