Source engine by default looks for all sound files, whether from the gcf package or actually in the directory, from /sound
So, /example.wav should work. Might not need the slash /
Do you know anyway to make this so it could possibly play the sound while the game is loading instead of after the player is in the server, i probably sound crazy but ive seen it before and i really wish i knew how to do it.
Not using Lua. Lua doesn't start until player joins server, or starts singleplayer.
There is a way to do it as part of a menu, but I don't know it. Try the Valve developer wiki.