You can change the sound played for the new mail alert in the Windows Control Panel, Sound applet. (In older versions of Windows its called Sounds and Audio Properties.)
Change the default sound for new mail to another sound file on your system. Or use Google (or Bing) to find .wav files to download.
You can use Rules and Alerts to set a different sound for a specific message.
Where do you change other sounds?
Appointment reminder sounds are set in Tools, Options, Other tab, Advanced button, Reminder options. (In Outlook 2010, it's in Options, Advanced.)
You can also set a different sound for each appointment – click the Sound icon on the appointment form and browse to a different sound. (In Outlook 2007/2010, the Sound icon is at the bottom of the Reminder time dropdown menu.)
How do you change the volume of a sound?
Outlook does not have volume controls, this is controlled by the computer. If you have the sound turned as high as it will go on the computer and speaker, you'll need to use a sound editor to make the sound louder.