You'll need to install that module either via pip on your Phantom server or bundled into a Phantom app.
To install a package, log into the command line of your Phantom server and run phenv pip2.7 install {package} where {package} is just the name of the package you want to install. For example, phenv pip2.7 install winsound .
Then you should be able to import winsound in the global section of the playbook.
Sources:
https://my.phantom.us/kb/19/
https://my.phantom.us/4.6/docs/appdev/faq
https://my.phantom.us/4.6/docs/appdev/metadata#specifying_pip_dependencies
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