Hey @deepakj,
In Unity you will need to add an audio source object to the scene.
Click the Game Object menu and select Audio > Audio Source,
you should see an object in the scene that resembles a speaker and in the Hierarchy panel an Audio Source,
select the Audio Source in the Hierarchy and go to the Inspector panel,
you can drag and drop the audio file into the Audio Clip field.
This will play the audio at the location of the Audio Source in the scene, meaning the further you are from the Audio source the more it fades to a distant sound.
To Add the audio to an object, as with your animation,
select the object with the animation, go to the Inspector panel, at the very bottom you should see, Add Component,
click on it and select Audio > Audio Source.
Drag and drop the audio clip to the Audio Clip field.
Now the audio will be associated with the object.
For example, a handgun with an animation and sound effects will play at the location in the scene of the handgun.
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