Certainly. It's sinply a wav file and Windows can use that wav file just as
it can any other.
Put the wav file anywhere on your drive, then go to Control Panel, Sounds
and Audio Devices, and go to the Sounds tab. Scroll to new mail
notification, then browse to this wav file and choose it.
You can get lots of different wav files on the web (google for them) and use
any of them for any of the events listed on that Sound tab.