How to Change Sound Notification in Outlook Express
First do the following:
The following window will open with the sound tab already checked. Scroll where it says "Program Events" until you see "New Mail Notification."
(Note: if you are using Win98/Me or Classic View for XP, double click "Sounds and Audio Devices" from your listing and pick the "sounds" tab)
This is an "hands on tutorial" so click the scroll bars to get to the next step.