Like the .wad they must go in 1 of 2 folders listed. You guessed it, additional sounds for the map. These files either go in sound folder or a sub folder under sound. A lot of authors will create a 'mapname' folder to be placed in sound folder. A new model for the map, they may have a subfolder under models.
Sprites can be little animations, like fire or rain.
Or new crosshairs. A subfolder may or may not be needed. A problem with creating a new one is there can only be one in the sound folder. If more than one mapper creates one, somebody's sentences is going to be overwritten. Unless the 2 files are merged, but there is a text limit on this file.