When I was using Windows XP, there was a distinct sound when an application showed a balloon tip in the notification area (aka system tray). Unfortunately, I didn't look any deeper into it. Now Windows 7 has this behavior disabled by default and I do not know how to configure it.
Discovered the name of sound file used to accompany tray balloon tips in Windows XP
Windows XP Balloon.wav
More clues: interesting registry key is
HKEY_USERS\XP Registry Hive\AppEvents\Schemes\Apps\.Default\SystemNotification\.Default
Default value is
%SystemRoot%\media\Windows XP Balloon.wav
System Notification event label appears to be correct, but tray balloons are silenced elsewhere.