main-menu.gsm is not part of the Asterisk core sounds. You need to install the 'extra-sounds' package to get it. The file would be in the sounds/en directory along with quite a few other extra sound files unless you messed with the normal install process.
The extra package is not installed by default and if you did not tell it to do it during the build process (through 'make menuselect') it did not download it.
You can download the sound packages you want here,
http://downloads.asterisk.org/pub/telephony/sounds/or if you use yum, just type,
yum install asterisk-sounds-extra-en-g
sm
for the english gsm files.
The yum install has simply got to be the fastest way to setup a base Asterisk system going (on CentOS anyway). Check here for how to add Asterisk to the repositories,
http://www.asterisk.org/downloads/yumNote: the yum command line on the instructions page does not include the extras package either. So if you cut and paste it you wouldnt have it.
