There are dropdowns for "Feature On Sound" and "Feature Off Sound" on the Audio tab of the Options window where you can select alternative sounds.
If you don't have any other option than "Default" in there, you likely have a damaged or missing "VASoundResource.dll" file.
Either run the installer again, or manually copy the file over from the zipped version. Both can be found
here.
You can also use custom sounds:
To override the default on/off sounds in VoiceAttack (listening on/off, joysticks on/off, etc.), just add a valid .wav file called, 'sys_on.wav' and/or a file called, 'sys_off.wav' to the same directory that VoiceAttack.exe is located (usually C:\Program Files (x86)\VoiceAttack).
If you want to override the default interrupt sound (stop all commands.), just add a file called, ‘sys_stop.wav’. Note that these must be valid .wav files.
If an error is encountered, the sounds are reverted back to the default sounds. Note also that these sounds will override any selected sounds on the options screen.