We are having problem with users that connect trough RDP. They hear the system BLEEP all the time.
Create this registry entries for your users:
\[HKEY_CURRENT_USER\Control Panel\Sound]
"Beep"="no"
"ExtendedSounds"="no"
or order that hotifx:
http://support.microsoft.com/default.aspx?scid=kb;en-us;901115
This can be shut off on the server much easier...
Launch Administrative Tools / Terminal Services Configuration on the Terminal Server. Then go to the "Client Settings" tab. The last set of options includes "Disable the following:" and check "Audio mapping" to disable sound.
as far as i know, the beep is not covered by "Audio mapping", but don't nail me on this one ...