How do I "make" my own SFX?

By that, I mean, How do I make my own WAV files as opposed to searching the internet and downloading them?
I was looking for some NES Megaman WAVs, but I couldn't find any, so I was thinking on making my own. The problem is, I'm not sure how to do it.
I have a working mic. Do I need anything else?

EDIT: Oh, sorry, I posted this in the wrong place.

If you have Windows, just use Sound Recorder. Plug in a microphone, and talk into it with Windows Sound Recorder recording it. It will save it as a .wav file, which is what ZC uses. If you can't find the program, go to Start-Accessories. It should be there.

I know certain emulators allow you to record WAVs.