this is done in Control Panel under Sounds and Audio Devices properties. you may have to temporarily change to "Classic" Control Panel to see this label. i don't have a clue as to what it is called when you are showing the "new" Windows XP Control Panel. there is a tab for Sounds that allows you to change the Windows startup and logon sounds.
I recently installed a Creative Soundcard in my XP machine. The software that comes with it changed my logon sound to a different (Creative) one. I'd like to change it back but can't seem to find the area to change it. Do I have to edit the Registry? Any help is appreciated.