Those are handled by the 'Sounds' Preference (in that Deskbar menu). You can install whatever sounds you like (wherever you like, really) and then link to them from the desired event in the Preference panel. Be aware, though, that many of the events don't seem actually to be active, but ones like 'Startup' and 'Beep' should be. I've heard, though, that startup sounds just don't work on some hardware -- maybe audio takes too long to initialize?
Nobody has made any "official" sounds for Haiku, but there was a forum topic a while back suggesting there should be. A couple of people, including me, put forward some samples. But basically you can use any sound, in just about any format, that you want.