I use custom ringtones for Emails, Voicemails, Reminders and Text Messages under Sounds and Notifications. I found that, except for Reminders, the operating looks for these sounds under \Windows. Reminders looks under \Windows\Rings. I believe in my 700wx (WM5), all of them were all located in \Windows\Rings.

So if you want to use a custom ring tone (MP3, Wave, etc.) for a specific notification and can't find it, use either \Windows or \Windows\Rings.

FYI, if you use the Manage tab for Sounds and Notifications, it will move it to \Windows\Rings.