Well, I've been doin some testing and i found a workaround. MSN sets it back to defaults like it was before startup. So what i done is i went inta msn messenger > tools > options > general tab...clicked sounds. Then i closed MSN messenger completely (also in systray) and set the sounds i wanted (in my case i wanted no contact online sound). After that started MSN messenger and it kept the settings
Ofcourse u can also set the sounds by going to start > configurationscreen > sounds....just make sure MSN messenger isnt running whilst altering the sounds