Quick Click flags (and flag for follow up rules) use the reminder settings for Tasks. If you have the option enabled to set reminders on Tasks with due dates, quick clicks (for Today, Tomorrow, This week, or Next week) will have a reminder set. If you aren’t automatically setting reminders on tasks, reminders won’t be set when you flag messages. Flags with no due date don’t have reminders.
In Outlook 2007 (and earlier), Task options are set in Tools, Options, Preferences, Task Options. (Reminder sounds are in Other tab, Advanced options).
In Outlook 2010, go to File, Options, Tasks.