Every time I open a new IE window, and another e-mail has arrived, usually
spam, I get surprised by the "mail truck" sound. I tried to find the sound
file and delete it, but I can't find it. I know I could turn my speakers
off, but that ruins other sounds I want to hear.

I went to Control Panel/Sounds, Speech, and Audio Devices/Change the Sound
Scheme/Sounds/ went in the box and changed "New Mail Notification" to where
is does not have a cartoon of a speaker next to it, changed the box below
that, where it says "Sounds" to (None), clicked "Apply", saved the sound
scheme in the highest box within the "Sound and Audio Devices Properties"
box and STILL I get that damn mail truck sound when I open IE and mail has
arrived. This is really frustrating.