So I jet leave it as it is? No need to move the folder around?
This step is just to have easy access to the game's data. It doesn't modify the game, as long as it's not all in the same folder as sobek.exe.
And to create a KPF file I just need to right click and select "WinRAR ZIP archive.zip" and add the following folders sounds - waves - and drag jumpp.wav inside the wave folder am I right? After Im done I change the extension to KPF?
This sounds correct. sounds/waves/jumpp.wav inside a zip file with the extension changed to kpf. Is your custom kpf in the mods folder? The mods folder goes in the same folder as sobek.exe.