You don't say which version of Outlook you are using. For Outlook XP, the help file tells you how to turn off sounds - make sure you have not done the following -
"Turn off sounds
On the Tools menu, click Options.
Click the Other tab, and then click Advanced Options.
Clear the Provide feedback with sound check box.
Note When you select or clear the Provide feedback with sound check box, the setting affects all Microsoft Office programs."