Intro
Moddificable. If HoI has similar structure as Eu there is a folder AVI in main directory of HoI. There should be intro files.
Main screen
Search the folder structure and you'll find a BMP file with main screen (maybe without buttons). Change this file and you'll change the main menu picture.
Interface
Somewhere in the folder structure is Interface folder. There are BMP files of all buttons, icons, and whatever you can remember from the game. Changing these files you can change the whole interface.
Music
Find MP3 files in the folder structer. Maybe they are under Music folder placed directly in the main HoI folder. Change these files and the music in game changes. Maybe there is TXT file with them which says which music files can play in game.
Sounds
Sound effects are in WAV files. Find them and moddify them freely. You can't add new sounds for actions that haven't sounds in original game already. But you can freely change those which are there.
I suppose that HoI is using similar structure as Eu, if no the others will surely correct me. 