You can use the ParticleCollider to create collision between the player and a particle. By implementing the OnParticleCollision() method on a component attached to the player you can detect when you've hit a particle, and then take the appropriate action.

You could place a box collider around the whole emitter, then set it to be a trigger. See this page http://unity3d.com/support/documentation/ScriptReference/Collider-isTrigger.html You can make a collider a trigger by checking the box in the inspector while the box collider is selected. Then in the on OnTriggerEnter function you can destroy the particle emitter, and play the sound.

var sound : AudioClip;
var emitter : ParticleEmitter
Function OnTriggerEnter
{
    sound.Play();
    if (emitter)
        emitter.emit = false;
}

Now in the inspector just drag your audio clip and emitter into the variable spaces.

You should also check out the tutorials page http://unity3d.com/support/resources/tutorials/ the FPS Tutorial and Lerp tutorial cover alot of topics.