Do you mean the sound when you get an email? because you can just change that by replacing C:\Program Files\MSN Messenger newemail.wav with a different sound.
[F Request] - by s7a5 on 11-22-2005 at 11:58 PM RE: [F Request] - by zach on 11-23-2005 at 03:07 AM RE: [F Request] - by lopardo on 11-23-2005 at 03:24 AM RE: [F Request] - by s7a5 on 11-24-2005 at 04:59 AM RE: [F Request] - by lopardo on 11-24-2005 at 09:15 PM