Open your yahoo messenger; drag your cursor towards the Preferences option and click it.
From the drop down menu, select Messenger Preferences
A window will open on your screen with the title Preferences; categories will be viewed on the screen, select the "Alerts and Sounds" category which is on the left side of the window.
On the same window, drag your cursor on the right side and check the Enable Alerts Sounds (usually it is checked by default).
After completing the procedure mentioned above, an event has to be selected from the Alert Me When List.
After selecting the events, the alert option is checked which you would prefer Yahoo Messenger to make use of when an event occurs.
At the end click OK and you will receive alerts and hear sounds when any of the events you have marked earlier will occur.