Summary: IE (Internet Explorer) is frequently configured to make a "clicking" sound when you move from page to page. Here's how to turn IE's click sound off, or change it.
Every time I change to another page in IE6 SP2, whether by using the back and forward buttons, clicking on a link, or typing a URL, there's a sound that plays. It sounds like a muffled explosion and it's annoying as hell. I checked all the assigned sounds in the control panel and there's no entry for IE at all, so there are none assigned to it through there. Where else can I look? I'd like to get rid of it, but even substituting a simple beep would be a big improvement.
Actually you were looking in the right place - Control Panel, Sounds - it's just that it's totally not obvious which item you want to change.
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So everyone else can get there, we'll:
Open Control Panel
Open Sounds and Audio Devices
Click on the Sounds tab
In the Program events: list, scroll down to the section for Windows Explorer
So "magic item #1" is that Internet Explorer takes some of its settings from Windows Explorer.
Scroll down to the Start Navigation setting within Windows Explorer
And "magic item #2" is that the setting that controls the sound you want is called "Start Navigation"
Here's where we are at this point:

You can now select different sounds for that setting, using the Sounds: dropdown beneath the list. One of those settings is "(none)" to turn is off completely. Alternately, you can use the Browse button to assign just about any ".wav" file to be played - imagine Homer Simpson saying "D'oh!" each time you navigate.
OK, maybe not.
Related:
Article C2763 - August 21, 2006
I'm having the same trouble as the first two posters - I follow the instructions but when I go back into the Sounds applet, after clicking Apply and OK, it has reverted back to how it was, i.e. Windows doesn't seem to save it, or something else is over-riding it. Any suggestions on how I can fix this? Thanks, Russell.
Posted by: Russell at November 4, 2007 4:49 AMGreat! This noise is really annoying when listening to online radios!! THAAAANK YOOOU!
Posted by: John at December 3, 2007 10:15 AMThank you! Hopefully this puts an end to it. Such things drove me to FireFox long ago, but occasionally I do find myself in IE and now it will at least be bearable. Notice how there are no pleasant sounds in the entire list of Windows sounds?
Posted by: QA at April 13, 2008 4:10 AMThanks for the info Leo! Why on earth would we want these annoying sounds in the first place? We can already SEE WHEN WE HAVE CLICKED ON SOMETHING!
Posted by: A at April 23, 2008 12:07 AMThanks. Worked first time. Dont we just love computers.
Posted by: jj at June 20, 2008 5:27 AMwell.i was running into the same "my sound is already off and i was still hearing the clicking noise" wall and so i went to opera prefs and i took the check off the enable program sounds and it seems to be working and ...AAAAH!!!!! [removed]!!! ....NEVER MIND
Posted by: andyolinyk at November 26, 2008 2:08 AMThanks! That has been irritating me for a long time, especially since that is supposed to be the sound Google Taskbar makes when it blocks a popup. I kept thinking... is something being blocked now?
Posted by: rod merritt at March 12, 2009 5:22 PMi've wanted to turn that sound off for years...my god my live has improved SO MUCH!! it was expecially annoying in hotmail...now if i could only figure out how to turn the noise off in outlook...d'oh!
Posted by: mark at March 25, 2009 8:25 PMI turned off everything what everyone sayd,but... i steel have a "click" sound !!!!!Heeeelppp
Posted by: Liana at May 5, 2009 8:03 AMI'm a little confused here, because the remedy given here is not effective, and yet the administrator just seems to have dropped off. If I remember this site, and I may not.. I will provide the correct remedy when I have it. Thank you.
Posted by: Jenny at November 6, 2009 3:32 AM