The Sounds preferences application is where you set system sounds. Currently, you can set the sound for three events: The general system Beep, the arrival of a New E-mail notification, and the system Startup sound.
To change a sound setting, select the event at the top of the panel and choose a sound from the menu at the bottom. To add a new file to the list of candidates, choose Other... from the sound file menu, or simply drag and drop a sound file into the Sounds window.