Classic Mac OS games will very often have some of the sounds/graphics in the resource fork as ‘PICT’ or ‘snd ‘ resources, either in the game application file itself or (often, particularly in cases where the author anticipated users creating their own sound libraries) in a separate file’s resource fork. (In fact, sounds will almost always be stored this way in all but the oldest games; graphics are much more likely to end up in some proprietary format somewhere.) You’d need to get them out of the resource fork and into a file format your Windows machine can understand.
Classic Mac OS did support hidden (‘Invisible’) files, but not folders. But this was almost never used, because so much Mac software (certainly of the pre-CD ROM era, anyway) was meant to be “installed” just by dragging an icon or folder to one’s hard disk, and having a bunch of invisible files would have broken that paradigm and served no other purpose.