Hi CJ89,
Is this a question for the Blender subforum (see the tag of your thread)? Or a question regarding the Zombie Runner game project from the Unity 3D course? If the latter, we should change the tag to avoid any confusion.
Regarding your question, the shooting sound should be easy to implement. You know when you shoot, do you? If so, add the sound where the code for the shooting gets executed. We did something similar in the Project Boost game where we play the engine sound only when thrusting.
Adding sound to the zombies is a bit more challenging because we did not create the animations ourselves. You could look for animation events online and trigger certain sounds via an event.
I hope this helped. 
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- Forum User Guides : How to mark a topic as solved