Add sound to almost every event in Windows

Single-click the Start menu.
Single-click the Control Panel.
Single-click the Sounds, Speech, and Audio Devices icon.
Single-click the Sounds and Audio Devices icon or the text labeled "Change the sound scheme."

Make sure you're on the Sound tab and locate the pull-down menu under Sound scheme.
Select the Windows Default option and press Apply. Windows will ask you if you want to save the previous sound scheme. Since there wasn't a sound scheme already loaded, just choose No.

If you look under the text labeled "Program events," you'll be able to sample your new sounds or customize them with your own.