There are three versions of the santa patch, each with a different sound file in it.  
If you have a problem running the patch, make sure you downloaded the correct
version.  Postal by default uses the 16-bit 11k audio, so this is probably the one
you need, unless you did a custom install and picked a different sound quality.  

The patch also includes a new level which is installed to your hard drive.
To play the new level, Select Start from the main menu, then select 
Single Player, and then Load Level.  You should see a santa.rlm file in
the open file dialog box.  Select santa.rlm and click on Open.  

