Hi, John.
What operating system?
This problem has been recurring ever since Windows 2000 introduced new security rules, which become an issue when installing any application - especially Quicken, it seems. Laura's advice is good, but there's one more step that has to be done before those steps will work.
If you go to Control Panel | Sound | Sounds (in Vista Ultimate - there will be slight variations if you are using a different Windows version), you will see menu selections for sounds in Windows, Windows Explorer, Windows Photo Gallery, etc. - but probably NOT for Quicken. To get Quicken sounds into that menu, you will have to either reinstall Quicken - as THE Administrator - or edit the Registry.
I am attaching the .txt version of a .reg file that I've updated from earlier (Win2K and WinXP) versions to work in Vista. This one is customized for MY system, which has Quicken installed in my E:\QuickenW folder. You probably will need to edit it by using Notepad's Edit | Replace function to change all occurrences of "E:\\QuickenW" to "C:\\Users\\" to reflect your own Username ("jhewitt", or whatever you use). After editing this .txt file, save it and change the extension to .reg. When you are sure it's correct, right-click the filename (in Explorer) and click Merge. This will add Quicken to Vista's Sounds menu; you can edit the specific sounds (Open Program, Click, etc.) if you don't like the defaults.
Please post back and let us know how this works for you. Be sure to tell us your Windows version.
RC