Open the SFX folder and copy/paste the downloaded .SDT and .RAW files into it.
: If you want to play your own songs, place shortcuts to your MP3 files in Documents\GTA San Andreas User Files\User Tracks and use the "Scan User Tracks" option in the game menu.
If you installed the files but still experience issues, apply these community-tested fixes: The "No Sound in Cutscenes" Glitch
Back up your original \audio folder. Seriously. Just copy it to your desktop.