Insert|Movies and Sounds|Sound from File, navigate to your applause sound.
There's one available in the clip organizer, too. Insert|Movies and
Sounds|Sound from Clip Art. Type Applause in the clip search pane, select one
and insert it. Just know that only WAVs under 100kb will be embedded by
default. If you want to embed a larger WAV file, before inserting it, go to
Tools|Options|Edit and put 50000 in the "link sound files greater than" box.