- Download the sound to your computer to your "media" directory. On Windows 95/98 it is located inside \My Computer\C:\System or \My Computer\C:\System32\. On Windows NT it is located inside \My Computer\C:\Winnt\
- Left click the Start menu on the bottom of the screen
- Select "settings" --> "control panel"
- Double click "sounds"
- Click on an event and give it your new sound