You can change the start up and log off sounds in Windows XP very easily. Click the Start button, click the Control Panel and then click Sounds and Audio Devices. A small window will open with tabs at the top. Click the Sounds tab. There is a list in the middle of the window with the events to which you can assign sounds. Scroll through the list (under Windows) until you see Start Windows (just under that is Windows Logoff and Windows Logon). Click Start Windows and the box below will light up with the name of the sound. Scroll through the list until you find the sound you want, click it, and click Apply. You can also preview the sounds before you close the window.
Windows XP has very few sounds available for you, you may have to collect (or make) some sounds of your own. These sounds are stored in the Media folder under Windows on your local hard drive.