To install sound mods you do this:
First backup the original sound ;).
Then you copy the new sound (.bnk file) into Program Files\Atari\Test Drive Unlimited\Euro\Bnk\Sound\Vehicules and you should be good to go ;).
If you would like to replace a sound from a car already ingame with another car, you would do something like this for example:
If you want to put the Ford GT (Ford_GT_audio.bnk) sound on the Corvette ZO6 (C6_Z06_audio.bnk), You would copy the Ford GT .bnk file to your desktop and rename it to the same filename as the ZO6 (C6_Z06_audio.bnk).
Then you backup the original C6_Z06_audio.bnk file and then copy the one from your desktop which should be the renamed Ford GT .bnk file. After you've done that you should have the Ford GT sound on the Corvette ZO6.
Remember to always backup your files before you mod them.