The only time an Internet connection could affect the sound on a computer is if the sound is actually being transmitted across the Internet connection (most games do not do this) and the source was providing a bad audio stream.
It's most likely a setting on the local computer that is causing the problem. I have heard a similar type of sound on my system when the EAX environmental audio is set to Echo, Hallway, Cave, or something else similar. Assuming that your friend has a SoundBlaster Live or Audigy card, open up the Creative Audio HQ and change environmental audio effects to None. Other sound cards have similar features, but I'm not sure exactly where to find them...