Sounds files can be in any directory as long as it subsides inside the "sound" folder in the root folder of the game. So for instance you could have hl2/sound/buttdick.wav, or you could have hl2/sound/epifire/hugehardon.mp3.
Once you have a custom file in there, it will show up in Hammer. If you have Hammer already open, you can click "refresh sounds" either on the main toolbar, or if you have the sound browser open, there should be an option for that as well.
Something to note is that if you're using an .mp3 you will NOT be able to preview it in the sound browser, as for whatever reason, that is not supported.
Hope this helps.