We've recently received many complaints from users about not being able to activate sound in MSN Messenger or Windows Live Messenger after performing an upgrade or downgrade.

This problem usually seems to occur when MSN 7.5 is upgraded to Windows Live Messenger, and possibly when Live Messenger 8.0 is downgraded back to Messenger 7.5. In any case, this problem can be solved by uninstalling whatever version of Messenger is currently installed and then performing a fresh installation.

You should also keep in mind that messenger mutes all of it's sound effects when you set your status to Busy.

We received many emails about this issue, for example, Devin writes:
I have recently downloaded Windows Messenger Live. sometimes when I receive new msgs, emails or alerts, the sound does not play. I used to have the old MSN, and the event sounds always used to play.