I can't say I have ever tried this, but if you use Explorer to navigate to C:\Windows\Media, you will see all the Windows sounds in there.
They are all *.wav sounds and while some are quite large, 1800 KB or so, most are in the range of 20 to 200 KB.
If you have a .wav sound file you want to add, and it is not too large, what happens if you place it in that folder? Make sure you give it a unique name so you don't over-write an existing file.
Then you can use the Sound dialog in the Control Panel to select what action you want your sound for, then "Browse" to that sound. In fact it looks like that 'browse' means you don't even have to locate your sound .wav file in that folder, but store it anywhere.
I have a 64 bit OS and I recently upgraded from Vista to Windows 7. In the sound menu of Win 7 you have a choice "Play Windows Start up Sound", check box. If unchecked no Start up Sound. I would rather have my own sound and when I searched the web I found a program which opens up the "dll" file to change the sound, "ResHack". When I tested the sound I wanted to use it played but on rebooting my computer it went back to the Windows 7 default sound. Microsoft really bugs.
I have full "Administrator Rights" and my edit was saved.