The problem is registry borne and was induced (in my case) by RegCure. The restate, the Windows default tone for the volume control that gets louder or softer as you adjust the volume from the task bar disappeared and was replaced by a single 'beep' from the system speaker. This will fix it:
http://www.kellys-korner-xp.com/xp_tweaks.htm
Go to '6. Restore System Default Sounds' and follow the instructions.