I've found this, but couldn't get it working correctly under WinUAE. Seems buggy, but it's worth giving it a try on a real Amiga because it seems to do exactly what you're looking for (so it says in docs)... you can assign sounds to all sorts of window/screen events:
http://aminet.net/package/util/cdity/WinSoundv1.4It uses datatypes apparently, but I wouldn't give it anything other than 8bit IFF's. Hope you get it working. Let me know how it goes...