no sound effects

I cannot figure out how to get sound effects on my IM, I
have checked all my sound settings, re-installed
IMmessenger, and windows xp, everything seems to be OK,
but I don't get the sound effects, on any windows
applications, eg windows start up, recycle bin... and
most important instant messaging, contacts on line, new
mail. No sound effects at all.... any help how to solve
this problem. PS my speakers are working, I am able to
test them, and I listen to the radio.