I did get a notification on IE. It played the same sound that I have for the mail notification on Outlook. The standard "ding dong" sound, exactly as Meek described it. I wonder if it is set up to play this one sound file only, and if it can't find it, then you get no sound.
I thought I had done everything you have done but still no sound. I have Outlook and hear sound on that so I must have done something different somewhere. I clicked on the megaphone, then clicked on the pop-up blocker. Voilla, window opens, Java opens, no sound. What have I missed?