Go to 'Admin' in the Main Menu >> Click on 'Sounds' under 'System management' >> Click the Add button
Complete the fields under the 'Sound description' section
Check the 'Create message' box (so as to have your sound automatically added to the Messages module, saving you the double-work of adding it later)
Under the 'Sound file' section, select Record file (you will be prompted to start recording your message after you have enabled your Microphone). Or select Upload file to upload a message file (in mp3 or WAV format) that is already recorded and saved on your PC for instance.
Click the Save button and your message is uploaded.
Note that Voicemail messages do not need to be added in the above way. Messages recorded specifically for the IVR, Queue features etc. need to be uploaded to both the Sounds and Messages features and then selected when setting these features up in your Dialplan.