All the Windows sound files(.wav files) are located in "C:\Windows\Media". Over the years I've collected numerous wav files sometimes on cds sold for customizing the different functions like a dog bark for a menu popping up or "aaawwwww...." sound for minimizing a window!

If you look around for custom wav files or Windows sound files you will find different sites for downloading different wavs for different things even movies! WAV Files - The Marx Brothers

Once downloaded and you check to make sure the files are good you simply copy them into the media folder and browse for each sound. From there you can save a custom sound theme.

One other thing to note is that generally WMP set as the default player when first finishing up a fresh install of Windows to see all the wavs added into the library.