Welcome to the PC club Alfredo :)
You don't say what Operating System you use.
If it's Windows 98, go to Control Panel.
To find that, click on the Start Button, choose settings from the pop-up, and then choose control panel.
When that opens you will see an Icon that looks like a loudspeaker stuck to a PC called Sounds.
In the new window you can then choose the sounds to all PC actions - Windows start and close, error beeps etc. etc.
THIS DOES NOT AFFECT PLAYING CDs OR WATCHING DVDS