Forum Moderators: open
Some others have had this problem as well: Sound Scheme Stops Working in Win XP SP2? [webmasterworld.com] However I don't see a solution in that thread.
Have you tried running XP's Sound Troubleshooter?
Resources for Troubleshooting Sound Problems in Windows XP [support.microsoft.com]
There are registry tweaks for restoring system sounds, but that might be more of a last resort. Another area you might want to check first is the possibility of a corrupted user profile. Make a new profile on the machine and see if you have the same problems.
When I visit control panel > sound and audio devices > sound tab, all the system sounds work fine when I click on the preview of each. The actual event sounds (new mail, etc.) are the ones that don't work.