Now you've got me confused!
If there's an e-mail
client (i.e. a
program) called 'Sky', I've never heard of it, so I can't help.
However, if you mean that your
ISP is Sky, then I would have expected that you'd be using Outlook Express (or something similar) anyway. If you're accessing your mail via the web (i.e. through a browser, such as Internet Explorer or Firefox), you're definitely doing things the hard way. (Web-based e-mail services are handy if you access your mail from lots of different computers but they're nowhere near as flexible as using something like Outlook Express or Thunderbird).
If you're using web-based mail, you should be able to add an attachment in a similar way to that described above. However, I doubt that you can add sound which plays when the mail is opened. (I'm also not sure that the sound would play if the recipient wasn't using a client such as Outlook Express or Thunderbird).
If you're with Sky and you're not already using Outlook Express, I suggest you do so. The required information is here:
http://www.skyinet.net/emailmoe.html
Chris