When you add a 'Play a sound file' step, the URL of the media file to play should be a WAV file (8 kHz, 16 bit).
Just copy and paste the URL in the required file and click on save when ready.
If your audio file is in a format different than WAV, for example, MP3, WMA, OGG, AAC, FLAC, you can use an online WAV converter to turn your file into WAV format. Don't worry about the specificities (8 kHz, 16 bit), once you convert the file it will automatically comply with those.