It turns out the sounds were from Yahoo! Connection Manager which WinXP doesn't even need. Additionally, since I had X'd out CFD in ZoneAlarm, it wouldn't let Connection Manager talk to the internet. Every time I restarted the computer the CM said I had no dsl connection, even though it was connected. The CM does not have an uninstall file so removing it is problematic. At least there are no more sound effects.
Once you click on the "remember this setting" button, it never pops up again. You must remember you did this down the road at uninstall or reinstall times.