No, sounds are not saved to your MSN/WLM account as they are a Plus! feature rather than an MSN/WLM one. Instead, all information regarding custom sounds is stored in the registry on your computer, with the sound files themselves being saved on your hard disk.
In order for your friend to use the sounds you have, you would need to send the sounds individually to him/her in a conversation, or simply export your sounds into a soundpack and give them that, which they can then re-import on their own computer.
Hope this helps