Search for a site that has wav files - like this one
http://www.pusboil.com/
Look in miscellaneous, 13th down the list for instance. Left click on it to hear it, right click and select 'save target as' to save it.
Then go start, control panel, sounds and audio devices, and select the sounds tab. Scroll down and click on New Mail Notification and the drop down box will become accessible probably with the file 'Windows XP Notify.wav' as the default sound for new mail. Now 'browse' to find the file you saved, click it and press ok. It should now be in the window. Press the little play triangle to play it, and apply or OK to keep it set.