The Sounds page lets you enable sound effects to be played for various FTP-related events when connected to a site in the FTP Address Book.
The events that you can assign sound effects to are:
Some of the sound effects also let you configure an Activation Time value. This lets you specify a minimum time threshold for the event. If the event occurs (either completes or fails, as appropriate) in less than the configured number of seconds, the sound won't be played. So you can for example have a sound played at the end of a long copy operation, but short file copies wouldn't play anything.
The actual sound files that are used for these events are configured in the Miscellaneous / Sounds page in Preferences.