Save them to your c://windows/media folder. Then in the control panel go to Sounds and Audio devices and click on the Sounds tab. In the panel below you'll see all the system events that can have sounds attached to them. Click on one you want to change, then click browse. Your Media folder will open, just select the one you want and click ok. Repeat for any other system events.
If you want to save the combination of sounds you've made, click in the box that says "sound scheme", give it a name and click "save as".