IE's click sound: how do I turn that off

• Open Control Panel
  
• Open Sounds and Audio Devices
  
• Click on the Sounds tab
  
• In the Program events: list, scroll down to the section for Windows Explorer
  

So "magic item #1" is that Internet Explorer takes some of its settings from Windows Explorer.

• Scroll down to the Start Navigation setting within Windows Explorer
  

And "magic item #2" is that the setting that controls the sound you want is called "Start Navigation"
Here's where we are at this point:

You can now select different sounds for that setting, using the Sounds: dropdown beneath the list. One of those settings is "(none)" to turn is off completely. Alternately, you can use the Browse button to assign just about any ".wav" file to be played - imagine Homer Simpson saying "D'oh!" each time you navigate.