Just like models and textures, sounds require their own folder within the sound folder:

C:Program FilesSteamsteamappsusernamehalf-life 2 episode 2ep2sound

The source engine supports both MP3 and WAV files. Any .mp3 file can be placed in the sound folder, and this will be recognized by Source and played in-game. However, WAV files are a bit trickier. The highest quality WAV file that Source will play is PCM 16-bit WAV at 44 KHz (refer to https://developer.valvesoftware.com/wiki/).

Click on the Refresh sounds button in the sound browser within Hammer to reload the new sounds so that they can be previewed. WAV files are the only files that can be previewed.