I've had a similar issue and it seems that Win7 doesn't seem to support selecting from the "Sound Schemes" drop down box, a folder that has been manually created within the media folder. I suspect that this is because the contents of the drop down is controled by the registry here.
HKEY_CURRENT_USER\AppEvents\Schemes\Apps\Default\Default
and here
HKEY_CURRENT_USER\AppEvents\Schemes\Names
So
within the Sound (Sounds Tab) dialog box, build your own custom theme
Simply choose No Sounds
then go about selecting the Program Events: you wish to associate a sound with and use the Browse button to locate the wav files you down loaded, and when done, use the save as button and give the scheme a name, something simple like Custom or MyScheme, etc.
Once you've done that, then of course the Scheme name is populated in the registry and is available to choose in the future.
Hope this helps, I know it seems like it should be easier, but we just play the hand we're dealt. There's probably some third party apps, that will do all this for you if you purchase their software or purchase their schemes and themes, but it's not that hard to do it yourself.