MailDude

It will sit in your system-tray and let you know when new mail has arrived. MailDude is a simple, easy-to-use, tiny mail notifier that will sit in your system-tray and let you know when new mail has arrived. It polls your pop3 mail server once every few minutes by default and makes a noise when new mail arrives.

How to change the sound effect:
It's really easy to change the sound effect that gets played when new mail arrives.

Go to "C:Program FilesFutzerSoftMailDude" and replace "newmail.wav" with whatever sound file (in .wav format) you want.