Look in your sound control panel. There might be something about "Modem WAV Out". Mute that and it should turn off the sound. Ifound out that sometimes look at your settings in your ISP. For example, ...
Mac OS: Sharing Files With Windows-Based Computers TIL article #31318 discusses different ways of sharing files between Mac OS- and Windows-based computers. Mac OS 9.1: No Sound From Internal Modem ...