The initial beep that you get before Windows starts is generated by the motherboard to indicate that it has passed it's self test (Power On Self Test or POST). The sounds from your speaker are controlled via Control Panel - Sounds and Audio Devices. Double click the icon, and on the Properties window click on the Sounds tab. In the Program events window you will see all the events that can generate a sound. Those without a loudspeaker icon are able to generate a sound but don't have one allocated. Select an event and use the "Sounds:" window to allocate one. The right pointing arrowhead will enable you to test the sound. If you don't like any of the listed you can browse for one. You can even generate your own sound as a wav file and use that.
Having said all that, I'm doubtful that there is an event available for when all the start-up programs have loaded.