This could be one of two things if you are using Windows XP.
The first is a popup or popunder. To find out use Alt+tab to find out what windows are open. If a pop of either sort has opened, you will find a new browser window. To stop either in Internet Express (v 6 or later) go to Tools > Popup Blocker and turn it on. My experiance is that it is mostly effective and will stop most of those annoying adverts. (sorry folks - v5 and earlier doesn't have this feature but using Windows or Microsoft upgrade will fix that for you free)
The second reason for the sound is why many folk turn down or off their speakers. By default many sites (especially Microsoft ones) make a sound everytime a new elemet opens in a web page. The best example I know that most people will experience is on the Microsft Update Page (Not Windows update - it's big brother that updates all Microsoft progems including Office
http://update.microsoft.com/microsoftup ... x?ln=en-us). On the home page, as each element of the screen opens there is a click or pop. If you have a fast internet conection and Microsoft aren't too busy it can sound like making popcorn. It is harmless but to get rid of it, just turn your speakers down a bit.