You have to have the sound in your gmod9/sound directory (or a subfolder)
Clients have to have same exact filename in thier sound directory (again, or a subfolder) for them to hear it.
ULX v2 command would be ... ulx playsound "sound.ext"
ext being wav, or mp3.
Quotes " are required if it has spaces.
If it is a subfolder of sound... as if you had it in /gmod9/sounds/yoursubfolder , it would be ...
ulx playsound "yoursubfolder/sound with spaces.ext"
See
http://forums.ulyssesmod.net/index.php/topic,272.0.html for some background on similiar issue another person was having with ULX v1.x 'force download' (to make the clients get the sound), and ulx_playsound (_ was old way)
On a side note, make sure the sounds are few and small in size. Many people hate joining a server and waiting more than 20 seconds just to download a bunch of random non-game-mode related sounds.