Shoutbox

"Sounds" is a button in the General tab. It opens your audio devices properties from where you can set which sounds to play for MSN Messenger events. You can also open to the audio devices properties window from the Control Panel > Sound and audio devices. And also by going to Start > Run, writing "rundll32.exe shell32.dll,Control_RunDLL mmsys.cpl" (without quotes) and clicking OK.

My Windows is in Spanish, so that's an approximate translation.