Hello dokhogg,
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This is a built-in feature of Internet Explorer. You can turn it off by doing the following steps:
1) Click Start, Run.
2) Type in 'control sounds' without quotes and hit enter.
3) From the tabs across the top, select "Sounds."
4) Scroll down and you'll find a category called "Windows Explorer." The last item under this heading is "Start Navigation." Click this to highlight it.
5) In the box just below this, called "Sounds," open the pop-up menu and scroll to the top to choose (None).
6) Click the "OK" button to close the dialog window.
Alternativley...
You can switch to Firefox. More secure and faster than IE, and the upcoming version is really fast and efficient. You can get your free copy from here:
Get Firefox
It comes without the annoying click.