The level will end when the player enters this sector.
Standard End-Level Sector
Tag a sector [0,65535]. When the player enters that sector, the level will end, and the next existing map is loaded. In the case of a user level, the next actual map is E1L1.MAP (unless you've added your own maps and renamed any of them to E1L9.MAP).
Verbal End-Level Sector
If you want to end the level with the message "We're gonna fry your ass, Nukem!", tag the sector [EndSound,65534]. EndSound is optional (sound #198 corresponds with the default message). If you really want to change the message, edit quote #102 in the USER.CON file.