if you go into gp edit (make sure you have made the gp2.exe in your folder the target in the program configuration menu) - also i assume you arent using x98gp2, because if so then i am not so sure how to change engine sounds with that .
after doing the above, you open up the sound file you want to export to the game and and then under the edit menu go to sound effect s- i think it will be there then and you can select to export it to the game and it will update. But i might be missing steps as i havent done it for a while and i might have forgotten the right way