Hey,
I use the Oxygen8 at work and at home when I'm not in my 'real' studio, usually downstairs watching tv.
No, you cannot transfer sounds to it...think of it like a keyboard for a computer: by itself it does absolutely squat, but as soon as you plug it into the back of your CPU you can control the computer.
If you don't have any hardware synths/samplers, you will have to run some sort of wavetable or soft synth on your computer and trigger the sounds on it. The sounds will come out of your soundcard which is plugged into your speakers, and you can then hear it.
Take care,
Nick