No doubt you would like to hear a pleasant female voice announce "Notepad", or "Wordpad" or "Calculator" as you open/close these programs. So how do you do it. Use Sound Association.
It allows you to decide which application you want to assign sound effects to, the events for these apps. Then from Control Panel-> Sound you can assign the actual sounds. Some free .wav included. Try them out!
Side Effects
not tested on NT/Win2000
API Declarationssome for registry editing