You might find you get more help by posting to a newsgroup supporting
those running XP rather than to a newsgroup supporting those running Win
Me.

In the Program events section on the Sounds tab found at Sounds and Audio
Devices, ensure that you have a sound selected for the events for which
you wish to have a sound played and that a small speaker is displayed.
One possible cause of the problem you are seeing, assuming that a sound is
selected, is that the path to the sound has changed or has become
corrupted in the registry.  Try changing the sound clip associated with
one of the events and see if that works.  If yes, then do the same for the
others.