This sound is from Windows XP Soundboard

Windows XP is the first consumer edition of Windows not based on the Windows 95 kernel and MS-DOS. Windows XP received critical acclaim, noting increased performance and stability. It is available for any devices running Windows NT 4.0, Windows 98, Windows 2000 and Windows Me that meet the new Windows XP system requirements.
See also: Windows XP editions, Microsoft Windows version history, Windows XP Professional x64 Edition, Microsoft Windows, Windows XP visual styles, Features new to Windows XP.