Restore System Sound: This generally happens when the Windows Audio Service does not stay started. This edit resolves the issue.
Either click here or see line 371: http://www.kellys-korner-xp.com/xp_tweaks.htm

If this is not the case, this is:  Either click here or see line 320:  http://www.kellys-korner-xp.com/xp_tweaks.htm
Special thanks to:  Florin Georgescu

Startup Sounds are missing:

TweakUI/General/Beep on errors (verify that the box is checked). http://www.microsoft.com/windowsxp/pro/downloads/powertoys.asp

Restore Startup and Shutdown Sounds (Line 211)
http://www.kellys-korner-xp.com/xp_tweaks.htm
 

System Sounds are missing:

Go to Start/Run/Regedit and navigate to this key: HKEY_USERS. If it doesn't have a Data entry in the right pane that reads: (value not set), double click (Default) and delete it. If it does, check your HKEY_USERS\S-1-5-21 keys for the same.

System and Application Sounds are distorted after running a game:

Boot into safe mode, shut down.  Then boot normally.

How to Boot into Safe Mode:

You need to hit F8 during boot, just after the BIOS info switches to black screen.

Or...

Go to Start/Run/Msconfig. Boot.Ini and check off /SafeBoot. Apply/Ok, reboot.

Description of Safe Boot Mode in Windows
http://support.microsoft.com/support/kb/articles/q202/4/85.asp

Added info:

Restore System Default Sounds (Line 6)
http://www.kellys-korner-xp.com/xp_tweaks.htm

Restore Media Files (Line 174)
http://www.kellys-korner-xp.com/xp_tweaks.htm

This edit corrects many Sound issues: Fix the Ding.wav File (Line 6)
http://www.kellys-korner-xp.com/xp_tweaks.htm

Resources for Troubleshooting Sound Problems in Windows XP
http://support.microsoft.com/default.aspx?scid=kb;EN-US;q307918