Sounds for build error/success in Visual C++?
CJM is almost right.
In VC++ 9 (Visual Studio 2008) Go to Control Panel's Sounds applet (Control Panel/Hardware and Sounds/Sounds in Vista).
Under the Sounds tab scroll to "Build Succeeded" under "Microsoft Visual Studio" and set a sound for this event.
If you have (or had) multiple VS on this PC (I have 6.0, 2003, 2005, and 2008) there may be multiple entries with names like "Microsoft Developer" or blanks - which I assume work in the older versions. I often end-up setting the wrong ones. It seems you'll have to close VS 2008 and reopen for this to take effect.
Someone mentioned this was broken/removed in VS 2005 - I noticed this as well.
Go to Start | Settings | Control Panel | Sounds, click the Sounds tab, and customize the entries under Microsoft Developer.
Another solution is to install the Visual Studio Power Toys. This includes a feature called 'Toast' that shows a notification in your system tray when a build has finished. You might see if this has options that would be useful for sound notification.