No, they are stored as .dat files in:
Windows XP/2000:
C:\Documents and Settings\All Users\Application Data\Messenger Plus!\Custom Sounds\
Windows 98/ME:
C:\Windows\All Users\Application Data\Messenger Plus!\Custom Sounds\
The folder is most likely hidden, so make the proper adjustments in your Windows Explorer to view hidden files and maps.
Read the links CookieRevised posted