okay i am going to be very helpful...I hade the same problem...yet nobody wanted to help me...in the PM Maintenance area...where it tells you to turn on and off...there is a little box bellow...put this exact link in that box http://www.freewebz.com/placid-x/pm.wav and all will be well.
and yes you can put a link in like that to the sound. You could also just put the sound file in your forum directory and just put the pm.wav in the text box.