Yes, you are right. Anki does support audio files. I've done this for
my Hebrew cards at one point.
To insert an audio file into the deck, goto Edit->Browse Items...
In the card browser, you can then insert audio into one of the fields
for a card (The icon for this is reasonably obvious).
However, I don't know what type of audio file format Mounce has used
for his CD (and I can't find the CD... haven't used it in a long time)
so I can't help you in regard to extracting the files, etc. You may
need to get permission from Mounce to reuse his files. I've found him
to be reasonable and generous about such things.
Good luck,
Steve