When you attempt to do something that either isn't permitted or your Mac needs your input or more information, an alert message appears on your screen and an alert sound plays. You have the ability to change the alert sound.
To change this:
Choose Apple menu > System Preferences, and click Sound, then click Sound Effects.
Simply click on a different alert sound from the list. The alert will play when you select it so you can hear how it sounds.
Optionally, do any of the following to adjust the alert sound.
Change where you hear alerts: Normally you play sound effects through your computer’s internal speakers, but if another sound output device is available, you can choose it from the “Play sound effects through” pop-up menu.
Adjust the volume of alerts: Drag the Alert volume slider. The alert volume is relative to your computer’s output volume, so if you lower the computer’s volume, alert sounds also play more quietly.
Choose whether to hear user interface sound effects: Your Mac plays sound effects when you perform certain actions, such as dragging an item to the Trash. To turn off sound effects, deselect the “Play user interface sound effects” tickbox.
Choose whether to hear a sound effect when you change the volume: On some keyboards, when you press one of the volume keys, the alert sound plays to let you hear the new volume. To prevent this sound, deselect the “Play feedback when volume is changed” tickbox. To temporarily reverse this setting, hold down the Shift key as you press a volume key. (Not all keyboards have volume keys.)