Did you make sure that the Volume slider is up? I sometimes put it too low and when silent music comes on I dont hear it either.
If not try playing them in Windows Media Player. If they don't work there then you must of dled them wrong or they are bugged.
As for recording sounds, do you mean off the computer? If so, get a digital recorder, record something, upload onto computer, import to RPGM. If you have a video camera, record what you want with the sounds you want, import to computer, then you will have to extract the audio with a program.
If it's on the computer, same as above just skip to the last step.
If you want to make your own sounds, you will need a mic and an audio recording program. Audacity is a good example.