http://www.microsoft.com/windowsxp/using/setup/personalize/sounds.mspx
1. Click Start, and then click Control Panel
2. Click Sounds, Speech, and Audio Devices.
3. Click Change the sound scheme. The Sounds, Speech, and Audio Devices Properties dialog box appears
4. In the Program events list, click an event. Then, click the Play button to listen to the sound currently assigned to the event. The sound probably sounds familiar. If you decide to change it, you'll hear your new sound in place of the current sound.
5. To change the sound, click the Sounds list down arrow, and select a different system sound. To choose a sound that you have downloaded or recorded, click the Browse button, select the sound, and then click OK. Click the Play button again to preview the sound.
6. Repeat steps 4 and 5 to change more sounds assigned to program events. When you are satisfied with your sounds, click Save As.
7. In the Save Scheme As dialog box, type a name for your scheme, and then click OK.
8. In the Sounds and Audio Devices Properties dialog box, click OK.
Good Luck!