There are sound effects that you can add onto the timeline. Some are just audio files that come alone, others are audio files that come with video effects, intros, and menus, etc. You can add audio effects to existing audio, but there is no sound generator to create a new sound in MEP.
You can search through your computer for wav, mp3 and ogg files and you may be surprised at the number of sounds that you probably already have. You can also purchase sound effects from Catooh and from other sources on the Internet. Or, you can simply record your own and modify them using the audio effects.
browj2 has the right answer. To add to his comments, there are many sites that offer free, inexpensive paid, and full (more expensive) ways to download sound effects. But, have you ever thought of using something like the Zoom H1 recorder to record your own sound effects. I use it to do that plus I use it on my DSLR to record audio for the video I shoot to get a much higher quality of audio. Not so good for speach because you have to sync the audio in post, but way better quality than that tiny mono michropone on my DSLR and many Camcorders.