Reply from Microsoft:
1. Click Start, click Run, type regedit, and then click OK.
2. Click HKEY_CURRENT_USER, click AppEvents, and then click Schemes to expand these registry key folders.
3. Click on Apps and then right-click on MSNMSGR.
4. Click on New and then Key.
5. Name it by right-clicking on the key (it has a folder as icon) and click Rename.
6. You need to name it MSNMSGR_ContactOnline.
7. Follow the previous procedure 3 more times. and name the new keys with these names:
MSNMSGR_NewAlert
MSNMSGR_NewMail
MSNMSGR_NewMessage
8. Sign in to MSN Messenger and change the sounds
http://forum.mess.be/index.php?act=findpost&pid=132650