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go to:
tools > options > alerts and sounds > and go to the sounds button.
make sure that windows default is selected. check all the sounds associated with "MSN messenger" click on them and play them. if the sounds don't play, you may be asked to find them manually.
so you might have to look for them.
if it still does not work, uninstall MSN, restart the computer, remove all folders associated with MSN and reinstall MSN.
I done all of this and still no luck!! There is also one other sound that do not work on my computer that when i think about it...also dissappeared about the same time, that sound is the trash sound that is associated with the recycle bin, the sound of scrunching paper when you delete items from the bin.