That's part of the default Windows XP sound scheme. To turn off all of the Windows sound effects, follow these steps:
1. Click on Start>Settings>Control Panel, or just Start>Control Panel if you're using the XP Start Menu.
2. Double-click on the Sounds and Audio Devices Icon.
3. Click on the Sounds tab.
4. Click on the drop-down arrow under Sound Scheme: and change it to No Sounds (to disable all sound effects).
5. Click Yes if you want to save your current sound scheme or No if you don't.
6. Click OK and all annoying Windows sound effects will be turned off.
7. Click OK to close the Sounds and Audio Devices Properties window.
8. Click the "X" to close the Control Panel.
9. Enjoy the blissful silence of no more annoying sounds. 😀
Or, if you only want to disable (or change) specific sound effects:
1. Click on Start>Settings>Control Panel, or just Start>Control Panel if you're using the XP Start Menu.
2. Double-click on the Sounds and Audio Devices Icon.
3. Click on the Sounds tab.
4. Click on the event you want to change in the Program events: list.
5. Click on the drop-down arrow under Sounds:
6. Change it to (None) to turn the sound off, or select a different sound if you want to.
7. Repeat 4-6 as needed.
8. Click OK to close the Sounds and Audio Devices Properties window.
9. Click the "X" to close the Control Panel.
10. Enjoy the cacophony of your new (and even more annoying) sound effects. 😉
I believe the specific "click" you are referring to is the Windows Explorer>Start Navigation event if you want to just change (or remove) that one sound...