In KDE 4.5.x: KDE Menu->System settings->Application and System Notifications->Manage Notifications.
There you can change all notification settings, including sounds, for your KDE. To change the global sound output settings, go to System settings->Multimedia.
Thanks, I actually found out it is a shade different for Mandriva Linux but this pointed me in the right direction. :grin:
I described it from my "plain" KDE here on Gentoo.
Glad, you found what you were looking for.