Shoutbox

I assume you mean Voice  Clips as WLM's own sound service, and not the msgplus! live ones.

If so, you don't go in tools.. You go in one of the menus of Windows Live Messenger ( the contact list ).

Search for the Sound and Video submenu..

(I don't have wlm at work.. I'll try to find a screenshot to find exactly the menu I'm talking about.)

There, I found the image, it's in french, but i know the english terms, so the Menu is Tools - Audio and Video Configuration.