yes and no. Yes you can do this, no you don't have to download anything...
When Outlook, Windows Mail or Outlook Express announce new mail audibly, they look for and play the New Mail Notification Windows system sound. To change the way new mail is announced, you have to customize this system sound. Change the New Mail Sound in Outlook, Windows Mail and Outlook Express
To use a custom sound when new mail comes in with Outlook and Outlook Express:
Select Control Panel from the Start menu.
Make sure you are in Classic View.
Double-click Sounds and Audio Devices.
Go to the Sounds tab.
Highlight New Mail Notification in the Program Events list.
Select a sound from the Sounds list, or use the Browse button to find a sound not in the list.