Right click on the speaker icon in the system tray. Select "Playback Devices". In the window that appears select the tab at the top "Sounds". Here you can set what sounds play when thing happen. You can set this to "No Sounds" or "Windows Default". If you set it to "No Sounds" the startup sound will still play most likely, so near the bottom of the window you can uncheck the box labeled "Play Windows Startup Sound".