Please use the Question Tags to state the name and full version number of the story format you are using, as answers can vary based on that information.
When you say "signalling the appearance of the message (paragraph)" do you mean after each time a link is selected that causes another Passage to be shown?
Does the sound effect play for every Passage shown, or just for some passages?
Is the same sound effect played each time, or will the sound effect change?
Use the answer I gave to your How to correctly add background music to the quest? question to setup the audio tracks of your project, and then depending on the answers to the above questions you can either:
1. Call the play() function of the correct sound effect within a header tagged special passage, if that effect should be played for every passage shown. You can use one of the (if:) related macros to conditionally control either which effect or limit which passages the effect is played on.
2. Call the play() function of the correct sound effect within each Passage you want to hear it in, if you only want the effect to play in a limited number of passages.