In Internet Explorer 9 there is the option of having system sounds, as there were in internet explorer 8. These sounds include a sound when a download is complete. By default the system sounds are off. To turn them on:

1. On the tools menu, choose internet options.
2. In the dialog ctrl+tab until you get to the advanced page.
3. In the settings tree view, in the accessibility group, there's the item play system sounds-off. You can quickly move to this by pressing the letter P.
4. Press spacebar, and the item changes to play system sounds-on.
5. press enter to press the default ok button.

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