To disable System Beep sounds in Windows, the "safe" method is to try Tweak UI. Look under General > Settings. Uncheck the Beep on errors box.

As of this writing, Tweak UI is available here:

http://www.microsoft.com/windowsxp/downloads/
    powertoys/xppowertoys.mspx

The other method that is guaranteed to work (but may strangely enough require reboot) uses the Device Manager. First select View > Show hidden devices. Then look under Non Plug and Play Drivers for Beep. Disable Beep and reboot (when prompted).

By the way, the command-line way to call the Device Manager is this:

%SystemRoot%\\System32\\DEVMGMT.MSC