This is a known bug in MSN Messenger v6.2.0137 (latest). For more info, read this thread:
http://shoutbox.menthix.net/showthread.php?tid=27148
There is no real fix for it yet, what you could do is either:
- Replace the default .wav sounds by your own ones.
- Uninstal MSN, get an slightly older version and use that one.
There was a registry file made by Time that
should fix this problem. But it didn't seem to fix the problem after all and was removed from the thread.
/ 
