Shoutbox

If you go to the MSN Messenger directory, usually C:\Program Files\MSN Messenger

Check to see if the following files are there and if they are, try playing them.

newalert.wav
newemail.wav
nudge.wav
online.wav
ring.wav
type.wav

If these files are not there, you should reinstall MSN Messenger from  http://messenger.msn.com/

When you go to Alert and sounds in options, check the sounds box and click the sounds button next to it, there will be a list called program events. Scroll down the list till you get to MSN Messenger. There will be the sounds i mentioned above in the list under MSN Messenger. Try previewing these sounds.