Must be the default "theme" your machine was set up with, since my new Windows 7 laptop doesn't make sounds on mouse selects.
To change the sound associated with mouse selects, place the mouse anywhere over the desktop and right-click to bring up a floating menu. There should be a "Personalize" option - click on that. A "Sounds" icon should be somewhere on the resulting dialog. Click on that; yet another dialog appears that shows a tree-like structure showing sounds associated with actions. One of those is probably the culprit and you need to assign "(none)" to it.
If all else fails, search the Windows 7 help system.