That default sound is not something you select (well, you can, but you don't have to). You simply need to leave the filebox (beside the "file sound:" label) blank, thus don't select a file or clear the box if there is a file listed in there.
This is also explained in the tooltip when you hoover over the filebox:
What Patchou said is that in WLM9 this default sound is not very loud, in fact it is very silent and very short. It is very easy to not notice it playing. So if you have a slightly different volume set or the sound settings in Windows are a bit different than what they were before you formatted, then it is possible that you don't hear a thing, eventhough the default sound is in fact playing properly.
The default sound for notifications is found in Windows Live Messenger's installation directory and is named "newalert.wma". But as said, you don't really need to select it, just leave the file box blank. You can however try to play it with your external media player to hear how 'loud' it is.