Hello,
Please follow the steps :

1. Go to the Outlook menu, click on Tools and select Rules and Alerts.
2. Select New Rule.
3. Go to the Stay Up to Date section and select Play a sound when I get messages from someone.
4. Click on the sound link.
5. Browse to desired sound file. Select the file and click the Open button.

Hopefully, this will help to resolve your problem.

Thanks & Regards,
Anjlua