Try Tools-Options-General tab.
Ensure "Play sound when new messages arrive" is checked.
If that is already checked, try the OE6 newsgroup.
OE6 newsgroups.
news://msnews.microsoft.com/microsoft.public.windows.inetexplorer.ie6_outlookexpress
news://msnews.microsoft.com/microsoft.public.windows.inetexplorer.ie6_outlookexpress.stationery