The icons are (left to right): Open Game, Close Game, Run Game, Print, New Resource, Open Resource, Import Resource, etc.
Selecting "Sounds" from the Open Resource menu is the same as going to the text menu and selecting Resource->Open Resource->Sound.
And the icon says "LOGI" by default.

And the Export Resource button (arrow to the old school 3.5" floppy disk) is the same as "Resource->Save As..."
It sounds like maybe I just need to try different copies of the game(s)? Except for KQ4 which I downloaded from the source you named, I got mine from a *different* archive.org link (https://archive.org/details/softwarelib ... e2gs_games) and while I've tested most of them to confirm they work, I get the aforementioned errors trying to open SNDDIR.
Unless I'm supposed to be opening some other file. You were never specific about which file is the right one to open.