The only way you can change the default alert sound in MT4/MT5 is by replacing the ‘alert.wav’ file.
You’ve probably replaced that file in a wrong directory. Instead of trying to find the right directory manually, navigate to the ‘Events’ tab in Options, double click on ‘alert.wav’ next to ‘Alert’ and select ‘Choose other…’:
That’ll bring you to the right folder where you can replace the alert sound file. Make sure the extension of your custom sound is .wav, otherwise it won’t work.