The file "endgame.wav" is the sound you hear when you cap the enemy flag.
Link: Right-click and save, Moof sound
Right-click, save as "endgame.wav"
For Won TFC, put the wav in the folder at "...\SIERRA\Half-Life\tfc\sound\vox".
For Steam TFC, put in the folder at "\Program Files\Steam\SteamApps\yourname@youremail.com\team fortress classic\tfc\sound\vox", create the folders if needed.
Thats it, now you hear MoooOOOooof! when you cap.