It's a 'feature' of internet explorer.
ripped from turn off click noise
. How can I turn off the clicking sound in Microsoft Internet Explorer (IE) 5.0 and IE 6.0 every time I open a new Web page in Windows 2000?
A. By default, when you click a hyperlink or move forward or backward within IE, the browser produces a clicking sound. To turn off this sound, perform the following steps:
Open the Sounds and Multimedia Control Panel applet (go to Start, Settings, Control Panel, and double-click Sounds and Multimedia).
Select the Sounds tab.
Under Sound Events, navigate to the Internet Explorer section.
Navigate to Start Navigation and remove the sound for this event by selecting "none."
You can also turn off IE's clicking sound in the Registry by performing the following steps:
Start the registry editor (e.g., regedit.exe).
Navigate to the HKEY_CURRENT_USER\AppEvents\Schemes\Apps\Explorer\Navigating subkey.
Select the .current subkey.
Select Delete from the Edit menu.
Click Yes in the confirmation dialog box