Here's an example for you:
In this example, you'll notice that I have a "once (while true)" qualifier in there. That's because this sprite only has one frame and is used as a backdrop. The method for your purposes is, otherwise, the same. If your animation is at "walking", compare frame to "10" and then set your sound to play.
If you haven't done it yet, you'll also need to add the audio object to your project and import your sound.