i know if you download your google voice mails it puts them in audio format.. as far as game sounds go i see them on my phone to and i don't use 3 music player.. some games just install them.,. i delete them when i find them.. (play all my games with sound off anyways)
it is an empty file that is named ".nomedia" and it tells the gallery, mp3 player, etc to not check that folder for music/video/pictures. They usually come with MetaMorph themes, games, beautiful widget skins, etc so that they don't show up in your gallery/mp3 player. But some games don't do it.