Sounds in anims: Max 4

How do you do them?

you don't

Oh. Some other editing program is used then?

well.. there's adobe premire.. i use that..
there is other movie editing software
there's also a plug in for max that lets you add sound effects.. but.. it's really expensive

You Can use sound in MAX, by adding an audio channel to the Track view.
It's not very useful, only for sinqueing animation up with an existing sound.
Basically, don't bother, go with a video editing application like Adobe Premiere instead.