You could always check the Sounds settings in the Control Panel
(Start>Control Panel). Open the Sounds applet, click the Audio tab (in XP).
Under the Program Events heading, there is a Windows section. Look for one
that says, "New Mail Notification". Highlight it, click the Sounds drop-down
and choose a new sound. Click OK when done.
If using Outlook 2003, you can also click Tools>Options>Preferences
tab>Email Options... button. Click Advanced Email Options... Uncheck Play a
sound, click OK, click OK, click OK again to close the last window.
Process should be similar in 2007, although not positive.