He's saying to change that individual sound.  That one sound is the first thing I always change when I start a new system.
So in detail (for XP):
- Scroll down through the "Program events" until you See "Start Navigation" - it is in the "Windows Explorer" group
 
- Select "Start Navigation"
 
- In "Sounds" something should be selected ("Windows XP Start.wav", I think), change it to "(None)"
 
- Click "Apply"
 
That should make the d*mn sound go away.
It is strange that selecting "No Sounds" didn't get rid of it.  Definately not to insult your intelligence, but could you have missed hitting "Apply"?
Edit: Formatting, for great justice!